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jérôme Fillol and Fabien Tripier
''The scaling function-based estimator of the long memory parameter: a comparative study''
( 2003, Vol. 3 No.23 )
In this paper an original estimator of long memory is considered. It is based on the scaling function directly extracted from multifractal formalism. Monte Carlo simulations show that the scaling function gives interesting results, notably in terms of confidence intervals, which are smaller than the usual methods.
Keywords: Long memory
JEL: C1 - Econometric and Statistical Methods: General
Manuscript Received : Oct 03 2003 Manuscript Accepted : Oct 07 2003

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