ajdmom.mdl_svcj.cond2_mom.moment_IZs

ajdmom.mdl_svcj.cond2_mom.moment_IZs(m, J)

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

Parameters:

• m (int) – power of \(IZ^s_t\)

• J (tuple) – jump sizes in the variance

Returns:

poly with attribute keyfor = (‘mu_s’, ‘rhoJ’, ‘sigma_s’, ‘J_{1:n}’)

Return type:

Poly