System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
earlier in the context of the CAPM, how, given two regression models for two different stocks p and q (e.g. NYSE:F and NYSE:GFS), and any given time t, the regression errors ϵ_tp and ϵ_tq from the respective models for p and q are correlated with each other. Such correlations make it impossible to