Purpose The purpose of this paper is to examine the relationships between higher moments returns (realized skewness and kurtosis) subsequent at industry level, with a focus on both empirical predictability practical application via trading strategies. Design/methodology/approach Daily for 48 US industries over period 1970–2019 from Kenneth French’s data library are used calculate construct shor...

This letter proposes a novel spectrum sensing method for cognitive satellite communications detecting primary user signals. First, the useful signal power is estimated from noisy received by combining second- and fourth-order moments of data under investigation. Second, possible presence interest stated exploiting aforementioned as decision variable. Computer simulations, substantiated theoreti...

This paper develops a new time series clustering procedure allowing for heteroskedasticity, non-normality and model's non-linearity. At this aim, we follow fuzzy approach. Specifically, considering Dynamic Conditional Score (DCS) model, propose to cluster according their estimated conditional moments via the Autocorrelation-based C-means (A-FCM) algorithm. The DCS parametric modeling is appeali...