TY  - JOUR
TT  - MULTIFRACTAL ANALYSIS OF THE DYNAMICS OF TURKISH EXCHANGE RATE
AU  - Gülbaş, Ezgi
AU  - Ünal, Gazanfer
PY  - 2013
DA  - June
JF  - International Journal of Economics and Finance Studies
JO  - IJEFS
PB  - Sosyal Bilimler Araştırmaları Derneği
WT  - DergiPark
SN  - 1309-8055
SP  - 96
EP  - 107
VL  - 5
IS  - 1
KW  - MF-DFA
KW  - WTMM
KW  - USD/TRY
KW  - Eastern European currencies
KW  - 
N2  - 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.
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UR  - https://dergipark.org.tr/en/pub/ijefs/issue//275540
L1  - https://dergipark.org.tr/en/download/article-file/256743
ER  -