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In this article we consider the volatility inference in the presence of bothmarket microstructure noise and endogenous time. Estimators of the integratedvolatility in such a setting are proposed, and their asymptotic properties arestudied. Our proposed estimator is compared with the existing popularvolatility estimators via numerical studies. The results show that ourestimator can have substantially better performance when time endogeneityexists.

Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise