System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
GlobalFoundries. Thus, M = 3. Each model contains 2 regression variables: a stock specific intercept α, and the risk adjusted return for the corresponding market asset such the S&P metals index. Thus, there are two coefficients to be estimated for each model, i.e. k_1=k_2=k_3=2. And K=(k_1+k_2+k_3)