Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect
Rui Pedro Brito, Helder M. C. V. Sebastiao, Pedro Godinho
Portuguese Economic Journal, vol. 16, 2017, p. 65-86.

The Informational Impact of Electronic Trading Systems on the FTSE 100 Stock Index and Its Futures Contracts
Helder M. C. V. Sebastiao
European Journal Of Finance, vol. 16, 2010, p. 611-640.