1、
Causes of cross-autocorrelation in security returns: Transaction costs versus information quality 作者:
Terry L. Richardson and David R. Peterson
杂志::Journal of Economics and Finance 1997(11)29-39
链接:http://www.springerlink.com/content/8t38638651220726/
2、Liquidity Dynamics and Cross-Autocorrelations
作者:Tarun Chordia Asani Sarkar Avanidhar Subrahmanyam
杂志:working paper
链接:http://papers.ssrn.com/sol3/papers.cfm?abstract_id=676228