Liquidity and Conditional Portfolio Choice: A Nonparametric Investigation
Eric Ghysels, João Pedro Pereira
Journal Of Empirical Finance, vol. 15, 2008, p. 679-699.

Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies
Eric Ghysels, Pedro Santa Clara, Rossen Valkanov
Journal of Econometrics, vol. 131, 2006, p. 59-95.

There Is a Risk-Return Trade-Off after All
Eric Ghysels, Pedro Santa Clara, Rossen Valkanov
Journal of Financial Economics, vol. 76, 2005, p. 509-548.