RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia
Equation (A5)
ξ
t
+
1
=
ξ
t
exp
(
−
1
2
λ
t
′
λ
t
−
λ
t
′
ε
t
+
1
)
MathType@MTEF@5@5@+=feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLnhiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=xfr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaeqOVdG3aaSbaaSqaaiaadshacqGHRaWkcaaIXaaabeaakiabg2da9iabe67a4naaBaaaleaacaWG0baabeaakiaabwgacaqG4bGaaeiCamaabmaabaGaeyOeI0YaaSaaaeaacaaIXaaabaGaaGOmaaaacqaH7oaBdaqhaaWcbaGaamiDaaqaaGGaaiab=jdiIcaakiabeU7aSnaaBaaaleaacaWG0baabeaakiabgkHiTiabeU7aSnaaDaaaleaacaWG0baabaGae8NmGikaaOGaeqyTdu2aaSbaaSqaaiaadshacqGHRaWkcaaIXaaabeaaaOGaayjkaiaawMcaaaaa@5655@