@unpublished{publication-19616, author={De Nard, Gianluca and Engle, Robert F and Ledoit, Olivier and Wolf, Michael}, institution={University of Zurich}, issn={1664-705X}, number=356, pages=40, series={Working paper series / Department of Economics}, title={Large dynamic covariance matrices: enhancements based on intraday data}, year=2022, }