The distinction between stationarity, difference stationarity, deterministictrends as well as between short- and long-range dependence has a major impact onstatistical conclusions, such as confidence intervals for population quantities or point and interval forecasts. SEMIFAR models introduced...

A class of semiparametric fractional autoregressive GARCH models (SEMIFAR-GARCH), which includes deterministic trends, difference stationarity and stationarity with short- and long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This...