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 ) . MathType@MTEF@5@5@+=feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLnhiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=xfr=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@5E30@