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.
Corradi V, Distaso W, Fernandes M, Testing for jump spillovers without testing for jumps, Journal of the American Statistical Association, ISSN:0162-1459
et al., 2019, Leader β cells coordinate Ca2+ dynamics across pancreatic islets in vivo, Nature Metabolism, Vol:1, ISSN:2522-5812, Pages:615-629
Abadir KM, Distaso W, Žikeš F, 2014, Design-free estimation of variance matrices, Journal of Econometrics, Vol:181, ISSN:1872-6895, Pages:165-180
et al., Balancing cryptoassets and gold: a weighted-risk-contribution index for the alternative asset space, 1st International Conference on Mathematical Research for Blockchain Economy, Springer Verlag, ISSN:0302-9743
et al., 2019, 3-dimensional pancreatic beta cell Ca2+ dynamics in vivo: Hub cells dictate connectivity and glucose responsivity, WILEY, Pages:22-22, ISSN:0742-3071