Walter has joined Imperial College Business School in September 2006. He holds a PhD from the University of York. Previously, he held positions at the University of Exeter and Queen Mary, University of London. He has also been a visiting professor at the IMF.
His research interests are in the area of estimation, specification testing and prediction of financial Volatility in continuous time models; analyzing macroeconomic and financial time series using long memory models; identifying the macroeconomic determinants of stock-market volatility; studying the dependence of multivariate financial time series using copulas; evaluating competing trading strategies; analyzing the features and the effects of market microstructure noise.
et al., 2014, ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES, Econometric Theory, Vol:30, ISSN:0266-4666, Pages:252-284
Abadir KM, Distaso W, Zikes F, 2014, Design-free estimation of variance matrices, Journal of Econometrics, Vol:181, ISSN:0304-4076, Pages:165-180
Corradi V, Distaso W, Mele A, 2013, Macroeconomic determinants of stock volatility and volatility premiums, Journal of Monetary Economics, Vol:60, ISSN:0304-3932, Pages:203-220
Corradi V, Distaso W, Fernandes M, 2012, International market links and volatility transmission, Journal of Econometrics, Vol:170, ISSN:0304-4076, Pages:117-141
Abadir KM, Distaso W, Giraitis L, 2011, An I(d) model with trend and cycles, Journal of Econometrics, Vol:163, ISSN:0304-4076, Pages:186-199