6Bhar, R. Return and volatility dynamics in the spot and futures markets in Australia: An intervention analysis in a bivariate EGARCH-X framework.Journal of Futures Markets, 2001.
7Brorsen B.W. Futures trading, transaction costs, and stock market volatility.Journal of Futures Markets, 1991 (11 ).
8Chan K., Chan K. C., and Karolyi A. G. Intraday Volatility in the Stock Index and Stock Index Futures Markets , Review of Financial Studies, 1991(4).
9Maberly E, Allen D, Gilbert R. Stock index futures and cash market volatility .Financial Analysts Journal, 1989.
10Yakov Amihud.Illiquidity and stock returns:cross-section and time-series effects, Journal of Financial Markets,2002 (5).