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RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve
Equation
d
r
t
=
(
μ
r
−
λ
r
σ
r
)
d
t
+
σ
r
d
W
t
∗
;
d
W
t
∗
=
d
W
t
+
λ
r
d
t
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