This paper introduces a new class of multivariate volatility models that utilizes high-frequency data.  We discuss the models' dynamics and highlight their differences from multivariate GARCH models.  We also discuss their covariance targeting specification and provide closed-form formulas...

We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues.