System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
into the error term ϵ_(NYSE:F)t. In general, the error term ϵ_it of the model in Eq (1) explains the variance in (r_it — r_ft) that the regression variable (r_mt — r_ft) is unable to capture. How does all of this relate to the topic of this article? The CAPM as a system of regression equations If