MHT_mcs_max

This function returns the max-MHT test [Cummins M., Esposito F.P., 2024]

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].