Abstract
This paper investigates the multifractality of the daily exchange rate between the Philippine Peso and the US Dollar from January 2, 1998 to July 31, 2013 using the multifractal detrended fluctuation analysis. The behavior of the generalized Hurst exponent detects the presence of multifractality in the peso-dollar exchange rate. Moreover, the small fluctuations in the exchange rate show persistence. By quantifying the contribution of long-range correlations and broad fat-tail distributions to multifractility, the paper shows that the multifractility of daily peso-dollar exchange rate is mainly due to the broad fat-tail distributions.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
