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Typically structures like this are traded as notes. They will be sold at a face value of 100%, where that is normally the combination of a zcb (ie 1y usd, say 97.5%), expected coupon (say +10%), short Knock In put (also knocked out by the autocall feature, say -8%), and some profit for the issuer (in this case, 100%-97.5%-10%+8%=0.5%). Sometimes these are ...


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Hi: This is an incomplete answer but I needed room. The Wald statistic for testing a linear constraint , $Rb = r$ is , $(Rb - r )^{\prime}[R(X^{\prime}X)^{-1} R^{\prime}]^{-1}(Rb - r)/s^2$ $X^{\prime}X$ can be obtained from P4 and, in your case, $R = 1$ and $b = \alpha$. But I still don't see how the expression for $(X^\prime X)^{-1}$ results in what you ...


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I am afraid there is no short answer to that question. However there is some literature you can check. In this paper the author gives an overview over different methods and lists a lot of references. One approach is to decompose the volume timeseriies of your checking accounts into two parts: One volatile part: this is money which customers use to cover ...


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