System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
(Image by Author) Let’s look at what the above equation is telling us. r_it is the rate of return over some trailing period on asset i at time point t. An example of r_it is the return you will get at time point t after having invested $100 in shares of Ford Motor Company for the previous 3 months.