I'm wading through the vast sea of literature on realized volatility estimation and expected volatility forecasting (see, e.g. Realized Volatility by Andersen and Benzoni, which cites 120 other papers, and Volatility by Bandi and Russell, which cites a slightly overlapping set of 120 papers).
I'm having a tough time finding research that specifically addresses the simultaneous estimation of a broad cross-section of equity volatility from high-frequency returns time-series. I'm looking for something along the lines of Vector Autoregression (VAR), but applying both sophisticated techniques developed for large equity panel estimation (thousands of volatilities and potentially millions of correlations being estimated) and using recent advances developed for efficient estimation using high frequency data.
What papers address the specific problem of forecasting the cross-section of equity volatility from high frequency data?