Evidence of multifractality from CEE exchange rates against Euro

The multifractal spectrum of a time series can be ascertained with a number of techniques, some based on wavelets, others based on the much newer (multifractal) detrended fluctuation analysis (MF-DFA). We test for the presence of multifractality in daily data on selected exchange rates from Central and Eastern European economies against EURO. The approach is based on a slight modification of the MF-DFA analysis in that local trends are not allowed to be polynomially fitted but rather are estimated through a sifting process which is established through a so called Empirical Mode Decomposition (EMD) algorithm. We assess the drivers of the multifractal spectrum strength, like temporal correlations or distributions based on surrogate data. Another topic discussed is whether the entrance in the exchange rate mechanism ERM II influenced the multifractality of the exchange rates.