Chelley-Steeley, Patricia; Lambertides, Neophytos and Savva, Christos S. (2013). Illiquidity shocks and the comovement between stocks:new evidence using smooth transition. Journal of Empirical Finance, 23 , pp. 1-15.
Chelley-Steeley, Patricia and Park, Keebong (2012). Evaluating spread models with a basket security. Applied Financial Economics, 22 (4), pp. 259-283.