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 …

results than a simple buy-and-hold of cryptocurrencies in the portfolio …