Realised higher moments : theory and practice (2014)
Journal Article
Buckle, M., Chen, J., & Williams, J. (2016). Realised higher moments : theory and practice. European Journal of Finance, 22(13), 1272-1291. https://doi.org/10.1080/1351847x.2014.885456

This paper examines the incorporation of higher moments in portfolio selection problems utilising high-frequency data. Our approach combines innovations from the realised volatility literature with a portfolio selection methodology utilising higher m... Read More about Realised higher moments : theory and practice.

Risk and regulation in water utilities : a cross-country comparison of evidence from the CAPM (2014)
Journal Article
Buckland, R., Williams, J., & Beecher, J. (2015). Risk and regulation in water utilities : a cross-country comparison of evidence from the CAPM. Journal of Regulatory Economics, 47(2), 117-145. https://doi.org/10.1007/s11149-014-9261-z

This paper addresses a core issue for the regulated utility: what are the risks taken by investors in companies that supply a product whose supply is regulated? Prior research on returns of regulated water supply and distribution companies concluded... Read More about Risk and regulation in water utilities : a cross-country comparison of evidence from the CAPM.

How predictable are equity covariance matrices? Evidence from high frequency data for four markets (2014)
Journal Article
Buckle, M., Chen, J., & Williams, J. (2014). How predictable are equity covariance matrices? Evidence from high frequency data for four markets. Journal of Forecasting, 33(7), 542-557. https://doi.org/10.1002/for.2310

Most pricing and hedging models rely on the long-run temporal stability of a sample covariance matrix. Using a large dataset of equity prices from four countries—the USA, UK, Japan and Germany—we test the stability of realized sample covariance matri... Read More about How predictable are equity covariance matrices? Evidence from high frequency data for four markets.

Compositional Security Modelling Structure, Economics, and Behaviour (2014)
Book Chapter
Caulfield, T., Pym, D., & Williams, J. (2014). Compositional Security Modelling Structure, Economics, and Behaviour. In Human aspects of information security, privacy, and trust : 2nd International Conference, HAS 2014, Held as part of HCI International 2014, Heraklion, Crete, Greece, June 22-27, 2014 : proceedings (233-245). Springer Verlag. https://doi.org/10.1007/978-3-319-07620-1_21

Security managers face the challenge of formulating and implementing policies that deliver their desired system security postures — for example, their preferred balance of confidentiality, integrity, and availability — within budget (monetary and oth... Read More about Compositional Security Modelling Structure, Economics, and Behaviour.