RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve
Equation (5)
d
x
t
=
(
−
K
x
t
−
∑
λ
t
)
d
t
+
∑
d
W
t
*
=
−
(
(
K
+
∑
Λ
)
x
t
+
∑
λ
0
)
d
t
+
∑
d
W
t
*
.
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