Outlyingness weighted covariation

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MGARCH models: Trade-off between feasibility and flexibility (2018, methodology): “…into 288 five-minute intervals9 to avoid the asynchronous effect and compute the realized covariance by the Realized Outlyingness Weighted Covariance (rOWCov) of Boudt et al. (2011)10; see Barndorff-Nielsen et al. (2011), Corsi and Audrino (2012) and Boudt et al. (2012) for alternative proxies.”
Pre-Averaging Estimators of the Ex-Post Covariance Matrix in Noisy Diffusion Models with Non-Synchronous Data (2010, background): “(2007), Voev and Lunde (2007), and Boudt, Croux, and Laurent (2008) , among others.”