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

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.

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Year of publication:	2003-10-07
Authors:	Fillol, jérôme ; Tripier, Fabien
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2003, 23, p. 1-7
Publisher:	AccessEcon
Subject:	Long memory

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Extent:	application/pdf
Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010629708