@article{volatilityMLintraday,
  Title={{Volatility Forecasting with Machine Learning and Intraday Commonality}},
  author={Zhang, Chao and Zhang, Yihuang and Cucuringu, Mihai and Qian, Zhongmin},
  journal={Journal of Financial Econometrics},
  volume={22},
  number={2},
  pages={492--530},
  year={2024}
}