Julian M. Williams

Durham Business School

Mill Hill Lane

Durham, Durham DH1 3LB

United Kingdom

  • Durham Business School

SCHOLARLY PAPERS

26

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7,516

SSRN CITATIONS
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Top 21,485

in Total Papers Citations

46

CROSSREF CITATIONS

16

Scholarly Papers (26)

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1.

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Downloads 954 (47,661)
Citation 2

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Number of pages: 64 Posted: 13 Aug 2009
Christos Ioannidis, Julian M. Williams and Giovanni Calice
University of Bath-Department of Economics, Durham Business School and Bangor Business School
Downloads 328 (176,557)

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distance to default, credit derivatives, credit default swap index, financial stability

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Paolo Baffi Centre Research Paper No. 2009-75
Number of pages: 65 Posted: 21 Jul 2010 Last Revised: 13 Feb 2011
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Bangor Business School, University of Bath-Department of Economics and Durham Business School
Downloads 273 (214,276)
Citation 1

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distance to default, credit derivatives, credit default swap index, financial stability

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Finlawmetrics 2010 Conference Paper
Number of pages: 64 Posted: 14 Jan 2010
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Bangor Business School, University of Bath-Department of Economics and Durham Business School
Downloads 244 (239,741)
Citation 1

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distance to default, credit derivatives, credit default swap index, financial stability

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Number of pages: 54 Posted: 03 Mar 2011
Giovanni Calice, Christos Ioannides and Julian M. Williams
Bangor Business School, University of Bath - Department of Economics and Durham Business School
Downloads 109 (480,195)

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distance to default, credit derivatives, credit default swap index, financial stability

2.

Decentralized Financial Intermediation Beyond Blockchains

Number of pages: 32 Posted: 21 Jun 2016 Last Revised: 23 Sep 2018
Fabio Massacci, Chan-Nam Ngo and Julian M. Williams
DISI - University of Trento, University of Trento and Durham Business School
Downloads 679 (75,107)
Citation 3

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Blockchain, Byzantine Fault Tolerance, Distributed Payment Transaction Network, Smart Contract, Derivative Contracts as Programs

3.

Liquidity Spillovers in Sovereign Bond and CDS Markets: An Analysis of The Eurozone Sovereign Debt Crisis

Downloads 637 (81,362)
Citation 14

Liquidity Spillovers in Sovereign Bond and CDS Markets: An Analysis of The Eurozone Sovereign Debt Crisis

Paolo Baffi Centre Research Paper No. 2011-105
Number of pages: 48 Posted: 29 Jul 2011 Last Revised: 09 Oct 2017
Giovanni Calice, Jing Chen and Julian M. Williams
Bangor Business School, Cardiff University - School of Mathematics and Durham Business School
Downloads 468 (117,825)
Citation 12

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credit derivatives, liquidity, sovereign bonds, credit spreads

Liquidity Spillovers in Sovereign Bond and CDs Markets: An Analysis of the Eurozone Sovereign Debt Crisis

Number of pages: 69 Posted: 20 Dec 2011 Last Revised: 21 Jan 2012
Giovanni Calice, Jing Chen and Julian M. Williams
Bangor Business School, Cardiff University - School of Mathematics and Durham Business School
Downloads 169 (337,690)
Citation 1

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Credit Default Swaps, Liquidity, Sovereign Bonds, Credit Spreads

4.

Credit Risk Transfer and the Forecasting of Bank Defaults

Number of pages: 61 Posted: 21 Mar 2009 Last Revised: 13 Jul 2009
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Bangor Business School, University of Bath-Department of Economics and Durham Business School
Downloads 586 (90,418)

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Banks, Distance to Default, Credit Derivatives, Mutlivariate Volatility

5.

Static and Dynamic Asset Allocation with Higher Moments

Number of pages: 14 Posted: 05 Jan 2007
Julian M. Williams and Christos Ioannidis
Durham Business School and University of Bath-Department of Economics
Downloads 408 (139,854)
Citation 1

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Higher Moments, Asset Allocation, Portfolio Selection, Utility Theory

6.

LIBOR Manipulation and Detecting Informed Trading Evidence from the Interest Rate Derivatives Market

Number of pages: 26 Posted: 04 Nov 2016 Last Revised: 20 Jan 2017
Pongsutti Phuensane, Pongsutti Phuensane and Julian M. Williams
Durham University Business SchoolKhon Kaen Business School and Durham Business School
Downloads 383 (150,195)

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Microstructure, Informed Trading, PIN, LIBOR Manipulation, Market Manipulation, Financial Economics, Law and Economics, Eurodollar

7.

Term-Structure Analysis of Hidden Order in the Limit Order Book: Evidence from the E-Mini S&P 500

Number of pages: 47 Posted: 26 Oct 2016
Pongsutti Phuensane, Pongsutti Phuensane and Julian M. Williams
Durham University Business SchoolKhon Kaen Business School and Durham Business School
Downloads 338 (172,219)

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Hidden Order, Microstructure, Term-Structure

8.

Hansen-Scheinkman Factorization and Ross Recovery from Option Panels

Number of pages: 75 Posted: 25 May 2016 Last Revised: 31 Mar 2019
Fabio Massacci, Julian M. Williams and Yang Zhang
DISI - University of Trento, Durham Business School and Northwestern University
Downloads 336 (173,366)
Citation 4

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Option pricing, Markov chain, Non-linear programming, Stochastic Discount Factor

9.

Unruly Innovation: Distributed Ledgers, Blockchains and the Protection of Transactional Rents

Number of pages: 39 Posted: 22 Dec 2016
Karen Elliott, Fabio Massacci, Chan-Nam Ngo and Julian M. Williams
University of Newcastle - Business School, DISI - University of Trento, University of Trento and Durham Business School
Downloads 311 (188,132)
Citation 2

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Disruptive Innovation, Combinatorial Innovation, Smart Contracts and crypto currencies, Theory of the firm

10.

Are There Benefits to Being Naked?

Number of pages: 54 Posted: 16 Jan 2011 Last Revised: 08 Feb 2011
Giovanni Calice, Jing Chen and Julian M. Williams
Bangor Business School, Cardiff University - School of Mathematics and Durham Business School
Downloads 300 (195,559)

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Capital Structure Arbitrage, Credit Default Swaps, Portfolio Management

11.

How Predictable are Equity Covariance Matrices? Evidence from High Frequency Data for Four Markets

Number of pages: 48 Posted: 31 Jul 2012
Jing Chen, Julian M. Williams and Mike Buckle
Cardiff University - School of Mathematics, Durham Business School and University of Wales, Swansea - School of Business and Economics
Downloads 249 (236,116)

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Realized Covariance, Microstructure, Wishart Distribution

12.

Multivariate Asset Price Dynamics with Stochastic Covariation

Number of pages: 13 Posted: 18 Jan 2007
Julian M. Williams and Christos Ioannidis
Durham Business School and University of Bath-Department of Economics
Downloads 237 (247,934)

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Stochastic Volatility, Multivariate Pricing Models, Hedging

13.

Regulatory Changes, Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets

Downloads 235 (249,916)
Citation 4

Regulatory Changes, Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets

Number of pages: 54 Posted: 08 Dec 2009
Jing Chen, Roger Buckland and Julian M. Williams
Cardiff University - School of Mathematics, University of Aberdeen - Business School and Durham Business School
Downloads 136 (404,428)
Citation 1

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Chinese Equity Markets, Segmentation, Co-integration, Spill-over

Regulatory Changes, Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 54 Posted: 07 Dec 2009
Roger Buckland, Julian M. Williams and Jing Chen
University of Aberdeen - Business School, Durham Business School and Cardiff University - School of Mathematics
Downloads 99 (514,924)
Citation 3

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Chinese Equity Markets, Segmentation, Co-integration, Spill-over

14.

The Work-Averse Cyber Attacker Model: Theory and Evidence From Two Million Attack Signatures

Number of pages: 36 Posted: 01 Nov 2016 Last Revised: 28 Jun 2017
Luca Allodi, Fabio Massacci and Julian M. Williams
Eindhoven University of Technology, DISI - University of Trento and Durham Business School
Downloads 229 (256,241)
Citation 14

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Cyber Security, Dynamic Programming, Malware Production, Risk Management

15.

The Importance of Jumps in Modelling Volatility During the 2008 Financial Crisis

Number of pages: 33 Posted: 30 Jul 2012
Jing Chen, Julian M. Williams, Angela J. Black and Oleg Gustap
Cardiff University - School of Mathematics, Durham Business School, University of Aberdeen - Business School and Nutmeg Saving and Investment Limited
Downloads 221 (265,002)
Citation 3

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Autoregressive Jump Models, GARCH, Volatility, Option Pricing

16.

The Information Content of Option Implied Moments and Co-Moments: Extended Abstract

Number of pages: 9 Posted: 24 Apr 2017
Julian M. Williams and Yang Zhang
Durham Business School and Northwestern University
Downloads 215 (271,829)

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Asset Pricing, Risk Neutral Moments, Correlation Risk, Higher-Order CAPM, Higher Moments and Co-Moments

17.

Credit Derivates and the Default Risk of Large Complex Financial Institutions

CESifo Working Paper Series No. 3583
Number of pages: 46 Posted: 23 Sep 2011
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Bangor Business School, University of Bath-Department of Economics and Durham Business School
Downloads 194 (298,792)

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distance of default, credit derivatives, credit default swap index, financial stability

18.

Order Flow Toxicity and Informed Trading around Known Market Manipulation Events: Evidence from Interest Rate Futures

Number of pages: 63 Posted: 12 Jul 2016
Pongsutti Phuensane, Pongsutti Phuensane and Julian M. Williams
Durham University Business SchoolKhon Kaen Business School and Durham Business School
Downloads 187 (308,803)
Citation 1

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Microstructure, Informed Trading, PIN, VPIN, LIBOR Manipulation, Eurodollar, Market Manipulation, Financial Economics, Law and Economics

19.

Econometric Identification of Foreign Exchange Options Volatility Surfaces Recovering Foreign Exchange Option Prices from Spot Price Dynamics

Number of pages: 63 Posted: 08 Nov 2016 Last Revised: 29 May 2017
Julian Cook, Dennis Philip, Handing Sun and Julian M. Williams
BGC Partners, Inc. - Fenics Software Limited, Durham University Business School, Durham Business School and Durham Business School
Downloads 182 (316,405)

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OTC FX Options, Calibration, Volatility Surface, Implied Volatility

20.

Option Implied Measures of Systemic Risk in the US Financial Sector: Operator and Quadrature Measures of Extreme Events

Number of pages: 43 Posted: 15 Dec 2016 Last Revised: 02 May 2017
Yang Zhang, Valentina Lagasio, Marina Brogi and Julian M. Williams
Northwestern University, Sapienza University of Rome, Sapienza University of Rome - Dipartimento Banche Assicurazioni Mercati and Durham Business School
Downloads 170 (336,236)

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Systemic Risk, Correlation Risk, CLASS Model, Contingent Pricing

21.

Realised Higher Moments: Theory and Practice

Number of pages: 33 Posted: 31 Jul 2012
Jing Chen, Mike Buckle and Julian M. Williams
Cardiff University - School of Mathematics, University of Wales, Swansea - School of Business and Economics and Durham Business School
Downloads 159 (355,888)
Citation 2

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Higher Moments, Asset Allocation, Portfolio Management, Co-movement

22.

A Tale of Two Market Microstructures: Spillovers of Informed Trading and Liquidity for Cross Listed Chinese A and B Shares

Number of pages: 65 Posted: 17 Jan 2011 Last Revised: 15 Feb 2011
Jing Chen, Julian M. Williams and Roger Buckland
Cardiff University - School of Mathematics, Durham Business School and University of Aberdeen - Business School
Downloads 136 (403,524)
Citation 3

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Microstructure, Time Varying Vector Autoregression, Informed Trading

23.

Who Should Pay for Interdependent Risk? Policy Implications for Cyber-Physical Security Interdependence in Aviation

Number of pages: 29 Posted: 17 Dec 2018
Gabriel M. Kuper, Fabio Massacci, Woohyun Shim, Woohyun Shim and Julian M. Williams
University of Trento, DISI - University of Trento, Michigan State University - Department of TelecommunicationUniversity of Trento and Durham Business School
Downloads 85 (562,587)

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Risk Analysis, Game Theory, Cyber Security, Interdependence

24.

Was There Informed Trading in LIBOR Referenced Interest Rate Futures?

Number of pages: 49 Posted: 04 Nov 2016
Pongsutti Phuensane, Pongsutti Phuensane and Julian M. Williams
Durham University Business SchoolKhon Kaen Business School and Durham Business School
Downloads 85 (562,587)

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Marketmicrostructure, Informed Trading, PIN, LIBOR Manipulation, Eurodollar, Market Manipulation, Financial Economics, Law and Economics

25.

Smart Contracts and Infrastructure Risk Premia

Posted: 11 Oct 2021
Karen Elliott, Felix Irresberger and Julian M. Williams
Newcastle University Business School, Durham University and Durham Business School

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Smart Contracts, Derivatives Pricing, Infrastructure Risk.

26.

Knowledge Protection in Firms: Theory and Evidence from HP Labs

Posted: 15 Apr 2016 Last Revised: 20 Sep 2019
Karen Elliott, Andrea Patacconi, Joe Swierzbinski and Julian M. Williams
University of Newcastle - Business School, University of East Anglia (UEA) - Norwich Business School, Independent and Durham Business School

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Secrecy, information security, organization design, trust, innovation, appropriability mechanisms