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If I have a simple CAPM function
Rasset - Rft = Alpha + Beta(Rmk -Rft)
how do I find the white-estimator for the variance-covariance matrix ? Do I need to transform the equation ?
I want to compute this in R.
Rasset - Rft = Alpha + Beta(Rmk -Rft)
how do I find the white-estimator for the variance-covariance matrix ? Do I need to transform the equation ?
I want to compute this in R.
