9 problems

Regularity-reduction conjecture. The regularity conditions required for this central limit theorem can be reduced to those of Proposition 1 of Mykland and Zhang.

An extreme value index describes the tail behavior of the noise distribution at its minimum; the conjecture concerns how this index affects the statistical analysis of high-frequen…

Let $d$ be the ambient dimension, let $r$ be the rank parameter, and let $C_{d-r,1}$ and $C_{d-r,2}$ be the constants appearing in the covariance eigenvalue bounds, with $d-r$ the…

Exponential joint error-rate conjecture. The joint error probability should satisfy

Consider news effects that trigger contemporaneous price and volatility jumps. Call a price jump upward or downward according to its sign, and call a volatility jump upward when vo…

Let $\varpi$ denote the truncation parameter in the estimator for the discontinuous leverage effect, and suppose the estimator is considered under the assumptions and finite-jump-a…

Let $\widehat{\Theta}_n$ be a parametric estimator that achieves the Cramér–Rao efficiency bound, and suppose the local parametric model satisfies the assumptions leading to the ce…

The paper considers parametric inference for diffusion processes observed nonsynchronously and contaminated by market microstructure noise. It constructs a quasi-likelihood estimat…

General lower-bound conjecture. The analogous asymptotic variance determined for the general model should constitute the general lower bound.