System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
in the overall market in which asset i is being traded. For Ford, asset ‘m’ could be the S&P 500 index, or perhaps even better, the S&P 500 Automobiles Industry Index (SP500.251020) (although this particular choice for “ market” may be debatable). In any case, (r_mt — r_ft) is the risk adjusted