期刊名称：International Journal of Economics and Finance Studies
电子版ISSN：1309-8055
出版年度：2013
卷号：5
期号：1
出版社：Social Sciences Research Society
摘要：We perform a comparative study of applicability of the Multifractal Detrended Fluctuation Analysis (MFDFA) and the Wavelet Transform Modulus Maxima (WTMM) method in properly detecting of mono- and multifractal character of data. After summarizing the theory behind both methods, we apply both methods on USD/TRY currency. The results show that our data has multifractal nature but not at high level and multifractality is poorer if WTMM method is used. We also investigated whether other Eastern European country currencies, such as Russian Rubble and Hungarian Forint have multifractal characters by using MFDFA method. Therefore, forecasters have often encountered in trying to predict these exchange rates with models that do not incorporate any notion of inhomogeneity will have little predictive power.
关键词：MF-DFA;WTMM; USD/TRY; Eastern European currencies
