RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia Equation

Δ X ^ t+1 = K 0 + K 1 X ^ t + ∑ X ^ ε t+1 Δ X ^ t+1 = ( k ∞ Q ,…,0 ) ′ +J( λ Q ) X ^ t + ∑ X ^ ε t+1 Q r t =0+1′ X ^ t MathType@MTEF@5@5@+=feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLnhiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=xfr=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@7941@