Granger-causality tests on fourteen cryptocurrencies. …

cryptocurrencies´ returns determinants and forecast their returns. To handle model uncertainty when modelling cryptocurrencies, we … estimators to explain the cryptocurrencies´ returns. We further introduce a novel model averaging approach or the shrinkage … Mallows model averaging (SMMA) estimator for forecasting. First, we find that the returns for most cryptocurrencies are …

instinctive reflection of the media hype surrounding the surge of Bitcoin valuations) that cryptocurrencies represent a new asset … changing over time. We estimate such model by looking at the time variation in the exposures of major cryptocurrencies to stock … and computer power). The main empirical results suggest that cryptocurrencies are not systematically exposed to stock …

Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) as well as the Cryptocurrency index CRIX. Based on the prediction …