I was looking for some papers that explicitly show how realized volatility changes as we change the sampling frequency. For example, comparing the annualized volatility estimated from daily data is usually higher than the annualized volatility estimated using monthly data. I was able to find this paper (Radford: Calculation of Historical Volatility), but would like to have more evidence,
I am aware that this issue is closely related to the work done by Diebold et al (Converting 1-Day Volatility to h-Day Volatility: Scaling by sqrt(h) is Worse than You Think) and have already gone through it. Thanks!