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 paper...

Market conditions change over time leading to up-beat (bullish) or down-beat (bearish) market sentiments. The concept of bull and bear markets, also known as market regimes, is introduced to describe market status. Since regimes of the total market are not observable and the return can be...