The paper extends realized volatility based on high-frequency data to realized covariance matrix based on multivariate high-frequency data, to describe volatility and correlation of multivariate.

• 把基于一维高频数据的“已实现”波动率扩展到多维高频数据情形，给出“已实现”协方差阵，并给出了协方差阵的极限性质，用以刻画多维金融变量的波动率和相关性。