MHT_mcs_max

Version 1.0.2 (2.16 KB) by fpexp2
This function returns the max-MHT test [Cummins M., Esposito F.P., 2024]
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Updated 28 Nov 2024

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This function returns our max-MHT test version of the Hansen et al. (2011) Model Confidence Set approach [Hansen, P. R., Lunde, A., & Nason, J. M. (2011). The model confidence set. Econometrica, 79(2), 453-497], as described in Cummins and Esposito (2024) [Cummins M., Esposito F.P. (2024). Appraising model complexity in option pricing models, Working Paper].

Cite As

fpexp2 (2025). MHT_mcs_max (https://se.mathworks.com/matlabcentral/fileexchange/175383-mht_mcs_max), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2024b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.2

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1.0.1

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1.0.0