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RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve
Equation
LL
(
e
t
,
V
t
|
t
−
1
)
=
−
1
2
(
log
|
V
t
|
t
−
1
|
+
e
′
t
V
t
|
t
−
1
−
1
e
t
)
.
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