estimators to explain the cryptocurrencies´ returns. We further introduce a novel model averaging approach or the shrinkage …

to supplement the literature by studying the class of OLS post-selection estimators. Inspired by the shrinkage averaging … estimator (SAE) and the Mallows model averaging (MMA) estimator, we further propose a shrinkage MMA (SMMA) estimator for …

estimated separately. This pooling factor is related to the concept of shrinkage in simple hierarchical models. We illustrate …

latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the …