Imperial College London

Walter Distaso

Business School

Professor of Financial Econometrics
 
 
 
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Contact

 

+44 (0)20 7594 3293w.distaso Website

 
 
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Location

 

3.0253 Prince's GateSouth Kensington Campus

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Summary

 

Summary

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.

Publications

Journals

Abadir KM, Distaso W, Giraitis L, 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

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