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.