This paper analyzes the cyclical behavior of Dow Jones by testing the existence of long memory through a new class of semiparametric ARFIMA models with HYGARCH errors (SEMIFARMA-HYGARCH); this class includes nonparametric deterministic trend, stochastic trend, short-range and long-range...

In this article, we propose two new semiparametric estimators in the wavelet domain in order to estimate the parameter of nonstationary long memory models. Compared to the Fourier transform, the advantage of the wavelet approach to analyze the behavior of nonstationary time series is that it can...

The exact maximum likelihood (EML) procedure can be used as a residual-based test of the hypothesis of no cointegration against the alternative of fractional cointegration. Since the corresponding asymptotic properties have not yet been established, this paper provides simulated critical values,...