Hi I am reviewing the example of Barra risk model in the following document page 23 there is the statement:
"Estimating a covariance matrix for, say, 3,000 stocks requires data for at least 3,000 periods.
Why the number of periods has to be [greater than or] equal to the number of stocks?
Covariances and variances of the stocks can be measured for any number of periods, cannot they? I don't get the point here. Can anybody please clarify?