Härdle, Wolfgang Karl; López Cabrera, Brenda - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
events increases. Adverse
and extreme natural events like hurricanes, long cold winters, heat waves, droughts, freezes, etc …-dimensional vector with every component equal to one, t is the N-dimensional mean
rate of return process, t de nes a N …-dimensional dividend rate process, t denotes the volatility process and
rt determines the risk-free interest rate process of the traded …