ajdmom.itos_mom.moment_IEI_IEII¶
- ajdmom.itos_mom.moment_IEI_IEII(n4, n5, n6, n7, n8, return_all=False)[source]¶
Moment of \(\mathbb{E}[m_4m_5m_6m_7m_8]\)
Moment of the combination of Ito processes, conditioning on the previous volatility components, i.e.,
\[\mathbb{E}[I\!E_{1,n-1,t}^{m_4} I_{1,n-1,t}^{m_5} I\!E_{2,n-1,t}^{m_6} I_{2,n-1,t}^{m_7}I_{n-1,t}^{*m_8}|v_{1,n-1},v_{2,n-1}]\]- Parameters:
n4 (int) – \(m_4\) in \(I\!E_{1,n-1,t}^{m_4}\).
n5 (int) – \(m_5\) in \(I_{1,n-1,t}^{m_5}\).
n6 (int) – \(m_6\) in \(I\!E_{2,n-1,t}^{m_6}\).
n7 (int) – \(m_7\) in \(I_{2,n-1,t}^{m_7}\).
n8 (int) – \(m_8\) in \(I_{1,n-1,t}^{*m_8}\).
return_all (bool) – whether or not return lower order moments simultaneously, defaults to
False.
- Returns:
poly if return_all=False else IEI_IEII
- Return type: