RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve
Equation
[
y
t
,
0.25
⋮
y
t
,
10
]
=
[
a
0.25
⋮
a
10
]
+
[
b
′
0.25
⋮
b
′
10
]
x
t
+
[
η
t
,
0.25
⋮
η
t
,
10
]
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