Hi Can someone please explain me how the cross sectional calculation can be done.
For an example, I'm having a vector like this.
Vector 1: This is the vector where all the excess returns for n portfolios and to n time series are written.
Vector 2: Fama French 3 factor vector (nx3)
Vector 3: Calculated Betas for the portfolio. (3xn). So can someone please show me how the betas for each time can be calculated. (Cross sectional regression) this should be a [4xTn] times matrics including the the intercept as well. I need to implement this in excel. But have no idea
Even a small example is highly appreciated. I couldn't find any resources for this calculation.