Depending on your iteration of Word, Toxaris's plug-in should do it. (It requires, I think, 2003 or newer.) An alternative is to paste the Word doc into Word2CleanHtml dot com online. I have done this, and the ENDNOTES (I converted the footnotes earlier; it just takes a click or two on Word's top menu) survived just fine. I then open the html in Sigil, which I much prefer to Calibre. With the new Preview pane, you for all practical purposes have a WYSIWYG window in the progress of your epub. You can get Sigil here:
https://github.com/user-none/Sigil/releases