If the Fama-French model explains all covariances between the returns, then the correlation matrix of the residuals

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If the Fama-French model explains all covariances between the returns, then the correlation matrix of the residuals should be diagonal. What is the estimated correlations matrix? Would you accept the hypothesis that the correlations are all zero?

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Statistics And Data Analysis For Financial Engineering

ISBN: 9781461427490

1st Edition

Authors: David Ruppert

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Question Posted: Jun 24, 2016 06:31 AM

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If the Fama-French model explains all covariances between the returns, then the correlation matrix of the residuals

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Statistics And Data Analysis For Financial Engineering

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