This paper deals with estimation and hypothesis testing in models allowing for trending processes that are possibly nonstationary, nonlinear, and non-Gaussian. Using semi-parametric estimators, we obtain asymptotic confidence intervals for the trend and memory parameters, and we develop joint...

The volatility component models have received much attention recently, not only because of their ability to capture complex dynamics via a parsimonious parameter structure, but also because it is believed that they can handle well structural breaks or non-stationarities in asset price...