Abstract. The purpose of multifractal analysis of functions is to determine the Hausdorff dimensions of the sets of points where a function (or a distribution) f has a given pointwise regularity exponent H. This notion has many variants depending on the global hypotheses made on f ; if f locally belongs to a Banach space E, then a family of pointwise regularity spaces C α E (x0) are constructed, leading to a notion of pointwise regularity with respect to E; the case E = L ∞ corresponds to the usual Hölder regularity, and E = L p corresponds to the T p α (x0) regularity of Calderón and Zygmund. We focus on the study of the spaces T p α (x0); in particular, we give their characterization in terms of a wavelet basis and show their invariance under standard pseudodifferential operators of order 0.