RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve
Equation
M
1
,
τ
=
−
K
*
−
1
′
(
e
−
K
*
′
τ
−
I
)
M
2
,
τ
=
−
v
e
c
−
1
(
(
(
K
*
⊗
I
)
+
(
I
⊗
K
*
)
)
−
1
v
e
c
(
e
−
K
*
τ
∑
∑
′
e
−
K
*
′
τ
−
∑
∑
′
)
)
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