Dynamical analyses of the time series for three foreign exchange rates

Multifractal analysis of financial markets: a review

“…This carry trade, which contributes to pushing the Yen value lower, has been part of the strategy of the Japanese society, which is so dependent on exports for its economic health and on the safe haven status of its currency. Time series are recorded at different frequencies, such as daily data (from 1 June 1973 to 1 June 1988 using MF-SF [213], from 1 January 1980 to 31 December 1996 using MF-SF [735], from January 1971 to June 2003 using MF-SF [814], from 1 January 1990 to 2 November 2003 using MF-SF [815], from January 1971 to June 2003 using MF-SF [771], from 1 January 1990 to 2 November 2003 using MF-SF [816], from 15 December 1998 to 9 November 2008 using WTMM [817], from 2 January 1975 to 12 November 2010 using MF-DMA [657], and from 1991 to 2005 using MF-DFA [818]), tick-by-tick data (from 1 March 1986 to 1 March 1989 using MF-SF [213]), 1 min data (in 2005 [819] and 2008 [820] using MF-DFA), and 5 min data (from 1 February 2001 to 1 February 2002 using WTMM [786]).…”

“…For the Euro exchange rates, studies have been carried out for 1 min EUR/USD in 2005 using MF-DFA [819], 5 min EUR/USD from 5 January 2006 to 31 December 31 2007 using MF-SF [499], daily EUR/USD from 15 December 1998 to 9 November 2008 using WTMM [817], daily EUR/USD from 1 January 1990 to 2 November 2003 using MF-SF [816], daily EUR/USD from January 2007 to October 2009 using MF-DFA [824], daily USD/EUR from 4 January 1999 to 12 November 2010 using MF-DMA [657], 1 min EUR/USD in 2008 using MF-DFA [820], and daily data of Croatian Kuna (HRK), Czech Koruna (CZK), Hungarian Forint (HUF), Polish Zlot (PLN), Romanian Leu (RON), Slovak Koruna (SKK) and Slovenian Tolar (SIT) against UER from 4 January 1999 to 31 August 2010 using MF-DFA [335].…”

Multifractal analysis of financial markets

“…This carry trade, which contributes to pushing the Yen value lower, has been part of the strategy of the Japanese society, which is so dependent on exports for its economic health and on the safe haven status of its currency. Time series are recorded at different frequencies, such as daily data ( from 1 June 1973 to 1 June 1988 using MF-SF [173], from 1 January 1980 to 31 December 1996 using MF-SF [690], from January 1971 to June 2003 using MF-SF [768], from 1 January 1990 to 2 November 2003 using MF-SF [769], from January 1971 to June 2003 using MF-SF [725], from 1 January 1990 to 2 November 2003 using MF-SF [770], from 15 December 1998 to 9 November 2008 using WTMM [771], from 2 January 1975 to 12 November 2010 using MF-DMA [611], and from 1991 to 2005 using MF-DFA [772]), tick-by-tick data (from 1 March 1986 to 1 March 1989 using MF-SF [173]), 1-min data (in 2005 [773] and 2008 [774] using MF-DFA), and 5-min data (from 1 February 2001 to 1 February 2002 using WTMM [740]).…”

“…For the Euro exchange rates, studies have been carried out for 1-min EUR/USD in 2005 using MF-DFA [773], 5min EUR/USD from 5 January 2006 to 31 December 31 2007 using MF-SF [461], daily EUR/USD from 15 December 1998 to 9 November 2008 using WTMM [771] daily EUR/USD from 1 January 1990 to 2 November 2003 using MF-SF [770], daily EUR/USD for from January 2007 to October 2009 using MF-DFA [778], daily USD/EUR from 4 January 1999 to 12 November 2010 using MF-DMA [611], 1-min EUR/USD in 2008 using MF-DFA [774], and daily data of Croatian Kuna (HRK), Czech Koruna (CZK), Hungarian Forint (HUF), Polish Zlot (PLN), Romanian Leu (RON), Slovak Koruna (SKK) and Slovenian Tolar (SIT) against UER from 4 January 1999 to 31 August 2010 using MF-DFA [297],…”

“…For the Korean Won (KRW) exchange rates, the studied time series include daily KRW/USD from April 1981 to December 2002 using MF-SF [725,726], daily KRW/USD from 1991 to 2005 using MF-DFA [772], 1-min USD-KRW in year 2008 using MF-DFA [774], and the managed and independent float exchange rates using MF-DFA [620].…”