Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity

Martens, Martin, (2004)

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?

de Pooter, Michiel, (2005)

Prediciting the daily covariance matrix for S&P 100 stocks using intraday data - but which frequency to use?

Pooter, Michiel de, (2005)