“…Since then the literature has expanded significantly from the realized volatility of Andersen and Bollerslev (1998) to bipower variation (Barndorff-Nielsen and Shephard, 2004), realized kernels of Barndorff-Nielsen et al (2009) and realized covariance matrices (Aït-Sahalia et al, 2010, Peluso et al, 2014. As these intraday volatility measures evolved, there has been a natural complementary effort to build adequate models to describe their joint dynamics , Donelli et al, 2021, Cipollini et al, 2013.…”