2Chen, G., Firth, M. and Rui, O. M. ( 2001 ) : The Dynamic Relation Between Stock Returns, Trading Volume, and Volatiity[ J]. The Financial Review, 38,153 ~ 174.
3Clark, P. K. ( 1973 ) : A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices[J]. Econometrica,41,135 ~ 155.
4Copeland, T. E. (1976) : A Model of Asset Trading under the Assumption of Sequential Information Arrival[ J]. Journal of Finance, Vol. 31,1149 ~ 1168.
5Crouch, R. L. (1970) : The Volume of Transactions and Price Changes on the New York Stock Exchange[J]. Financial Analysts Journal,Vol 26,104 ~ 109.
6Engle, R. (1982) : Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation[J]. Econometrica, 50,987 ~ 1007.
7Karpoff, J.M. ,(1987) :The Relation between Price Changes and Trading Volume:A Survey[J] .Journal of Financial and Quantitative Analysis, Vol.T2,109 ~ 126.
8Kocagil, A. E., and Shachmurove, Y. ( 1998 ) : Return-Volume Dynamics in Futures Markets[J] .The Journal of Futures Markets, Vol. 18,399 ~ 426.
9Lamoureux, c., and Lastrapes, W. (1990) : Heteroskedasticity in Stock Return Data: Volume versus GARCH Effect [ J]. Journal of Finance, Vol 45,221 ~ 229.
10McCarthy, J., and Najand, M. ( 1993 ) : State Space Modeling of Price and Volume Dependence: Evidence from Currency Futures[ J]. The Journal of Futures Markets, Vol. 13, 335 ~ 344.