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Our data says that the document:

Claudio, Morana ; Nuno, Cassola ; CLAUDIO, MORANA. (2007) Comovements in Volatility in the Euro Money Market.
In: ICER Working Papers. RePEc:icr:wpicer:7-2007.

Full description at Econpapers

cites:

Barndorff-Nielsen, 0. and N. Shephard, 2004, How Accurate is the Asymptotic Approssimation to the Distribution of Realized Variance?, in Identification and Inference for Econometric Models, ed. by D.F. Andrews, J.L. Powel, and J.H. Stock. Cambridge Univerisity Press, forthcoming

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