The scaling function-based estimator of the long memory parameter: a comparative study

Jérôme Fillol () and Fabien Tripier
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Jérôme Fillol: MODEM - CNRS

Economics Bulletin, 2003, vol. 3, issue 23, 1-7

Abstract: 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 (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2003-10-07
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Citations: View citations in EconPapers (4)

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