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- W4287979672 abstract "We study the asymptotic theory of misspecified models for diffusion processes with noisy nonsynchronous observations. Unlike with correctly specified models, the original maximum-likelihood-type estimator has an asymptotic bias under the misspecified setting and fails to achieve an optimal rate of convergence. To address this, we consider a new quasi-likelihood function that arrows constructing a maximum-likelihood-type estimator that achieves the optimal rate of convergence. Study of misspecified models enables us to apply machine-learning techniques to the maximum-likelihood approach. With these techniques, we can efficiently study the microstructure of a stock market by using rich information of high-frequency data. Neural networks have particularly good compatibility with the maximum-likelihood approach, so we will consider an example of using a neural network for simulation studies and empirical analysis of high-frequency data from the Tokyo Stock Exchange. We demonstrate that the neural network outperforms polynomial models in volatility predictions for major stocks in Tokyo Stock Exchange." @default.
- W4287979672 created "2022-07-26" @default.
- W4287979672 creator A5046373297 @default.
- W4287979672 date "2019-12-26" @default.
- W4287979672 modified "2023-09-30" @default.
- W4287979672 title "Misspecified diffusion models with high-frequency observations and an application to neural networks" @default.
- W4287979672 doi "https://doi.org/10.48550/arxiv.1912.11832" @default.
- W4287979672 hasPublicationYear "2019" @default.
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