Abstract
In this study, we investigate the multifractal properties of three foreign exchange rates (USD-KRW, USD-JPY, and EUR-USD) that are quoted with different economic scales. We estimate and analyze both the generalized Hurst exponent and the autocorrelation function in three foreign exchange rates. The USD-KRW is shown to have the strongest of the Hurst exponents when compared with the other two foreign exchange rates. In particular, the autocorrelation function of the USD-KRW has the largest memory behavior among three foreign exchange rates. It also exhibits a long-memory property in the first quarter, more than those in the other quarters.
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Kim, S., Kim, S.Y., Jung, JW. et al. Dynamical analyses of the time series for three foreign exchange rates. Journal of the Korean Physical Society 60, 1473–1476 (2012). https://doi.org/10.3938/jkps.60.1473
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DOI: https://doi.org/10.3938/jkps.60.1473