In this paper we investigate the impact of news to predict extreme financial returns using high frequency data. We consider several model specifications differing for the dynamic property of the underlying stochastic process as well as for the innovation process. Since news are essentially...

This paper presents the R package MCS which implements the Model Confidence Set (MCS) procedure recently developed by Hansen et al. (2011). The Hansen's procedure consists on a sequence of tests which permits to construct a set of 'superior' models, where the null hypothesis of Equal Predictive...