Predicting the daily covariance matrix for S&P 100 stock using intraday data : but which frequency to use?

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

Pooter, Michiel de, (2005)

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

Martens, Martin, (2009)

Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity

Martens, Martin, (2004)