Chikhi, Mohamed; Péguin-Feissolle, Anne; Terraza, Michel - In: Computational Economics 41 (2013) 2, pp. 249-265
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...
