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RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve
Equation
fr
t
,
τ
=
ρ
+
1
′
⋅
(
e
−
K
*
τ
x
t
−
(
I
−
e
−
K
*
τ
)
μ
*
)
.
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