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

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Realized Volatility: A Review (2008, background): “Multivariate Applications In an interesting article, de Pooter et al. (2008) investigate the benefits of high frequency intraday data when constructing mean-variance efficient stock portfolios with daily rebalancing from the individual constituents of the S&P 100 index.”
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011, unknown): “Drechsler & Yaron (2008), Fleming, Kirby & Ostdiek (2003) and de Pooter, Martens & van Dijk (2008) .”
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? (2013, methodology): “To incorporate the effect of transaction costs, we follow de Pooter et al. (2008) assuming that the latter are proportional to portfolio turnover.”