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 …

In this paper, cryptocurrencies are analysed as investment instruments. The study aims to verify whether they can be … for the major asset classes, including the cryptocurrency index CRIX, for all cryptographic assets. Cryptocurrencies … properties. Portfolio optimisation with the Modern Portfolio Theory showed an increase in the Sharpe ratio of tangency portfolios …