Most recent empirical works that apply sophisticated statistical proceduressuch as a correlation-dimension method have shown that stock returns arehighly complex. The estimated correlation dimension is high and there islittle evidence of low-dimensional deterministic chaos. Taking the...

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...