Härdle, Wolfgang; López Cabrera, Brenda - 2009
index ; HDD index ; market price of risk ; risk premium ; CME … index, HDD index, market price of risk, risk premium, CME
JEL classi cation: G19, G29, N26, N56, Q29, Q54
Acknowledgements … relate it to the
risk premium for traded assets by the equation
t + t rt~1 = t t (19)
where ~1 denotes the N …