2 problems

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Generalization of volatility inference to dependent, heterogeneous and endogenous noise
Generalization conjecture. Certain generalizations of the results to these three types of noise are possible.
Conjectureopenmicrostructure-noise stochastic-processes volatility-estimationarXiv posted 2 days ago
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Optimal-rate conjecture for volatility estimation with polynomial kernels
Consider a microstructure-noise model whose kernel is … and whose volatility satisfies $\sigma\left(s,t\right)=\sigma\left(s\right)$ . Here $\alpha$ denotes the Hölder smoothness of…
Conjectureopenmicrostructure-noise statistical-inverse-problems volatility-estimationarXiv posted 2 days ago

Generalization of volatility inference to dependent, heterogeneous and endogenous noise