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- W1864104920 abstract "In this study, we analyzed the multifractality and the source of multifractality of the returns of GBP/USD, EUR/USD, USD/JPY and USD/CHF currencies. In the examination of multifractality we performed the Multifractal Detrended Fluctuation Analysis (MF-DFA). Also, we used shuffled and surrogated data that was derived from the Statically Transformed Autoregressive Process (STAP) method to determine the source of multifractality. According to the results, GBP/USD returns have monofractal features, whereas EUR/USD, USD/JPY and USD/CHF returns have multifractal behaviours. The tests concerning the source of multifractality indicated that the reason of multifractality for EUR/USD and USD/JPY returns is fat-tails of the probability density function of returns, whereas the reason of multifractality of USD/CHF returns are both long memory and fat tails. Also we have seen that there is an ambiguous relationship between the liquidity of the currency market and multifractality." @default.
- W1864104920 created "2016-06-24" @default.
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- W1864104920 date "2014-09-24" @default.
- W1864104920 modified "2023-09-24" @default.
- W1864104920 title "Source Of The Multifractality In Exchange Markets: Multifractal Detrended Fluctuations Analysis" @default.
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- W1864104920 doi "https://doi.org/10.19030/jber.v12i4.8866" @default.
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