ajdmom.mdl_svcj.cond2_cmom

Conditional Central Moments for the SVCJ model, given \(v_0\) and the realized jumps in the variance.

Functions

cm(l, par)

conditional central moment in scalar

cmoment_IZs(m, J)

conditional central moment \(\mathbb{E}[(\overline{IZ_t^{s}})^{m} |z^v(u), 0\le u \le t]\)

cmoment_y(l, J)

cmoments_y_to(l, J)

conditional central moments of \(y_t\) of orders \(0:l\)

poly2num(poly, par)

Decode poly back to scalar