Bootstrapping realized multivariate volatility measures

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BOOTSTRAPPING REALIZED VOLATILITY (2009, methodology): “The third-order Edgeworth expansion of the distribution of Th is (12) P (Th ≤ x) = Φ (x) + √ h q1 (x)φ (x) + h q2 (x) φ (x) + o (h) , for any x ∈ R, where q1 is defined in Section 4 and q2 is an odd polynomial of degree 5 whose coefficients depend on κj for j = 1, .”
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY (2012, methodology): “Hansen et al. (2010) found that a simple second-order polynomial form provides a good empirical fit.”
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011, background): “& Shephard (2004) and Dovonon, Goncalves & Meddahi (2007) , but their work was hampered by only”