ajdmom.mdl_svcj.cond2_cmom.cmoment_IZs

ajdmom.mdl_svcj.cond2_cmom.cmoment_IZs(m, J)

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

Parameters:

• m (int) – power of \(\overline{IZ^s}_t\)

• J (tuple) – jump sizes in the variance

Returns:

poly with attribute keyfor = (‘sigma_s’), noting that key is still a tuple (of one element)

Return type:

Poly