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

 

Publications

Publication Type
Year
to

34 results found

Corradi V, Distaso W, Fernandes M, Testing for jump spillovers without testing for jumps, Journal of the American Statistical Association, ISSN: 0162-1459

This paper develops statistical tools for testing conditional independence among the jump components ofthe daily quadratic variation, which we estimate using intraday data. To avoid sequential bias distortion, wedo not pretest for the presence of jumps. If the null is true, our test statistic based on daily integrated jumpsweakly converges to a Gaussian random variable if both assets have jumps. If instead at least one assethas no jumps, then the statistic approaches zero in probability. We show how to compute asymptoticallyvalid bootstrap-based critical values that result in a consistent test with asymptotic size equal to or smallerthan the nominal size. Empirically, we study jump linkages between US futures and equity index markets.We find not only strong evidence of jump cross-excitation between the SPDR exchange-traded fund andE-mini futures on the S&P 500 index, but also that integrated jumps in the E-mini futures during theovernight period carry relevant information.

Journal article

Salem V, Delgadillo Silva L, Suba K, Mousavy Gharavy SN, Akhtar N, Martin-Alonso A, Gaboriau DCA, Rothery SM, Styliandes T, Carrat G, Pullen TJ, Pal Singh S, Hodson DJ, Leclerc I, Shapiro AMJ, Marchetti P, Briant LB, Distaso W, Ninov N, Rutter Get al., 2019, Leader β cells coordinate Ca2+ dynamics across pancreatic islets in vivo, Nature Metabolism, Vol: 1, Pages: 615-629, ISSN: 2522-5812

Pancreatic β-cells form highly connected networks within isolated islets. Whether this behaviour pertains to the situation in vivo, after innervation and during continuous perfusion with blood, is unclear. In the present study, we used the recombinant Ca2+ sensor GCaMP6 to assess glucose-regulated connectivity in living zebrafish Danio rerio, and in murine or human islets transplanted into the anterior eye chamber. In each setting, Ca2+ waves emanated from temporally defined leader β-cells, and three-dimensional connectivity across the islet increased with glucose stimulation. Photoablation of zebrafish leader cells disrupted pan-islet signalling, identifying these as likely pacemakers. Correspondingly, in engrafted mouse islets, connectivity was sustained during prolonged glucose exposure, and super-connected ‘hub’ cells were identified. Granger causality analysis revealed a controlling role for temporally defined leaders, and transcriptomic analyses revealed a discrete hub cell fingerprint. We thus define a population of regulatory β-cells within coordinated islet networks in vivo. This population may drive Ca2+ dynamics and pulsatile insulin secretion.

Journal article

Koutsouri A, Poli F, Alfieri E, Petch M, Distaso W, Knottenbelt Wet al., Balancing cryptoassets and gold: a weighted-risk-contribution index for the alternative asset space, 1st International Conference on Mathematical Research for Blockchain Economy, Publisher: Springer Verlag, ISSN: 0302-9743

Bitcoin is foremost amongst the emerging asset class knownas cryptoassets. Two noteworthy characteristics of the returns of non-stablecoin cryptoassets are their high volatility, which brings with it ahigh level of risk, and their high intraclass correlation, which limits thebenefits that can be had by diversifying across multiple cryptoassets. Yetcryptoassets exhibit no correlation with gold, a highly-liquid yet scarceasset which has proved to function as a safe haven during crises affectingtraditional financial systems. As exemplified by Shannon’s Demon, a lackof correlation between assets opens the door to principled risk controlthrough so-called volatility harvesting involving periodic rebalancing.In this paper we propose an index which combines a basket of five cryp-toassets with an investment in gold in a way that aims to improve therisk profile of the resulting portfolio while preserving its independencefrom mainstream financial asset classes such as stocks, bonds and fiatcurrencies. We generalise the theory of Equal Risk Contribution to allowfor weighting according to a desired level of contribution to volatility. Wefind a crypto–gold weighting based on Weighted Risk Contribution to behistorically more effective in terms of Sharpe Ratio than several alterna-tive asset allocation strategies including Shannon’s Demon. Within thecrypto-basket, whose constituents are selected and rebalanced monthly,we find an Equal Weighting scheme to be more effective in terms of thesame metric than a market capitalisation weighting.

Conference paper

Salem V, Delgadillo L, Suba K, Georgiadou E, Kalogianni V, Marchetti P, Hodson D, Distaso W, Ninov N, Rutter GAet al., 2019, 3-dimensional pancreatic beta cell Ca2+ dynamics in vivo: Hub cells dictate connectivity and glucose responsivity, Publisher: WILEY, Pages: 22-22, ISSN: 0742-3071

Conference paper

Abadir KM, Distaso W, Žikeš F, 2014, Design-free estimation of variance matrices, Journal of Econometrics, Vol: 181, Pages: 165-180, ISSN: 1872-6895

This paper introduces a new method for estimating variance matrices. Starting from the orthogonal decomposition of the sample variance matrix, we exploit the fact that orthogonal matrices are never ill-conditioned and therefore focus on improving the estimation of the eigenvalues. We estimate the eigenvectors from just a fraction of the data, then use them to transform the data into approximately orthogonal series that deliver a well-conditioned estimator (by construction), even when there are fewer observations than dimensions. We also show that our estimator has lower error norms than the traditional one. Our estimator is design-free: we make no assumptions on the distribution of the random sample or on any parametric structure the variance matrix may have. Simulations confirm our theoretical results and they also show that our simple estimator does very well in comparison with other existing methods.

Journal article

Abadir KM, Distaso W, Giraitis L, Koul HLet al., 2014, ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES, Econometric Theory, Vol: 30, Pages: 252-284, ISSN: 0266-4666

Journal article

Corradi V, Distaso W, Mele A, 2013, Macroeconomic determinants of stock volatility and volatility premiums, JOURNAL OF MONETARY ECONOMICS, Vol: 60, Pages: 203-220, ISSN: 0304-3932

Journal article

Corradi V, Distaso W, Fernandes M, 2012, International market links and volatility transmission, JOURNAL OF ECONOMETRICS, Vol: 170, Pages: 117-141, ISSN: 0304-4076

Journal article

Corradi V, Distaso W, 2011, Multiple Forecast Model Evaluation, The Oxford handbook of economic forecasting, Editors: Clements, Hendry, Publisher: Oxford Univ Pr, Pages: 391-413, ISBN: 9780195398649

Book chapter

Corradi V, Distaso W, Swanson NR, 2011, Predictive Inference for Integrated Volatility, Journal of the American Statistical Association, Vol: 106, Pages: 1496-1512

Journal article

Abadir KM, Distaso W, Giraitis L, 2011, An I(d) model with trend and cycles, Journal of Econometrics, Vol: 163, Pages: 186-199

Journal article

Abadir KM, Distaso W, Giraitis L, 2010, An I(d) Model with Trend and Cycles

This paper deals with models allowing for trending processes and cyclical component with error processes that are possibly nonstationary, nonlinear, and non-Gaussian. Asymptotic confidence intervals for the trend, cyclical component, and memory parameters are obtained. The confidence intervals are applicable for a wide class of processes, exhibit good coverage accuracy, and are easy to implement.

Working paper

Distaso W, Lupi P, Manenti FM, 2009, Static and Dynamic Efficiency in the European Telecommunications Market: The Role of Regulation on the Incentives to Invest and the Ladder of Investment, Handbook of Research on Telecommunications Planning and Management for Business, Editors: Lee, Publisher: Information Science Reference, Pages: 1-14, ISBN: 9781605661940

Book chapter

Awartani B, Corradi V, Distaso W, 2009, Assessing Market Microstructure Effects via Realized Volatility Measures with an Application to the Dow Jones Industrial Average Stocks, JOURNAL OF BUSINESS & ECONOMIC STATISTICS, Vol: 27, Pages: 251-265, ISSN: 0735-0015

Journal article

Abadir KM, Distaso W, Giraitis L, 2009, Two estimators of the long-run variance: beyond short memory, Journal of Econometrics, Vol: 150, Pages: 56-70

Journal article

Corradi V, Mele A, Distaso W, 2008, Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of .uctuations in stock market volatility. We develop a model in which return volatility and volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate the model using data related to variance swaps, which are contracts with payo¤s indexed to nonparametric measures of realized volatility. We .nd that volatility risk-premia are strongly countercyclical, even more so than standard measures of return volatility.

Working paper

Distaso W, 2008, Testing for unit root processes in random coefficient autoregressive models, Journal of Econometrics

Journal article

Abadir K M, W Distaso, 2007, Testing joint hypotheses when one of the alternatives is one-sided, Journal of Econometrics, Vol: 140, Pages: 695-718

Journal article

Abadir KM, Distaso W, Giraitis L, 2007, Nonstationarity-extended local Whittle estimation, Journal of Econometrics, Vol: 141, Pages: 1353-1384

Journal article

Corradi V, Distaso W, 2006, Semi-parametric comparison of stochastic volatility models using realized measures, REV ECON STUD, Vol: 73, Pages: 635-667, ISSN: 0034-6527

This paper proposes a procedure to test for the correct specification of the functional form of the volatility process within the class of eigenfunction stochastic volatility models. The procedure is based on the comparison of the moments of realized volatility measures with the corresponding ones of integrated volatility implied by the model under the null hypothesis.We first provide primitive conditions on the measurement error associated with the realized measure, which allow to construct asymptotically valid specification tests.Then we establish regularity conditions under which the considered realized measures, namely, realized volatility, bipower variation, and modified subsampled realized volatility, satisfy the given primitive assumptions.Finally, we provide an empirical illustration based on three stocks from the Dow Jones Industrial Average.

Journal article

Abadir K, Distaso W, 2005, Testing joint hypotheses when one of the alternatives is one-sided

We propose a class of statistics where the direction of one of the alternatives is incorporated. We modify a class of multivariate tests with elliptical confidence regions, not necessarily arising from normal-based distribution theory. The resulting statistics are easy to compute, they do not require the re-estimation of models subject to one-sided inequality restrictions, and their distributions do not require bounds-based inference. We derive exact explicit distributions, then prove some desirable properties of our class of modified tests. We then illustrate the relevance of the method by applying it to devising an improved test of random walks in autoregressive models with deterministic components. In this example, the usual alternative to a unit root is one-sided in the direction of stable roots, while deterministic components are allowed to go either way, and we show that it is beneficial to take the partially one-sided nature of the alternative into account.

Working paper

Abadir K, Distaso W, Giraitis L, 2005, Two estimators of the long-run variance

We deal with the important question of estimating the long-run variance of a stationary sequence. We derive the asymptotic properties of a generalized Newey-West type of estimator in the case of a linear I(d) process. The results show that the bias and asymptotic distribution of the generalized Newey-West estimator depend on the memory parameter d. If the series has long memory then the estimator might even have a non-Gaussian limit distribution. The optimal bandwidth parameter q minimising MSE is derived. Theoretical results explain the large bias observed in simulation studies with arbitrarily chosen q. An alternative estimator is suggested. It has an asymptotic Gaussian distribution and bias which do not depend on d. The estimator is easy to apply and can be used to construct confidence intervals. Simulations confirm the theoretical findings.

Working paper

Abadir K, Distaso W, Giraitis L, 2005, Local Whittle estimation, fully extended for nonstationarity

We extend the classical local Whittle estimation procedure to fractionally integrated I(d) processes, where d>-3/2, thus covering stationary and non-stationary regions. Asymptotic properties of the bias of the estimator are investigated. It is shown that in a wider region than previously considered in the literature, the estimator exhibits the same asymptotic properties as in the stationary case. When the generating process is linear, existence of a Gaussian asymptotic distribution is shown. It is demonstrated that the estimator is consistent in the case of a signal plus noise process. Conditions characterizing trends which do not affect the consistency are provided and asymptotic properties of the estimator for detrended series are analysed. The performance of the estimator is illustrated by a simulation study.

Working paper

Abadir K, Distaso W, Giraitis L, 2005, Semiparametric estimation and inference for trending I(d) and related processes

This paper deals with estimation and hypothesis testing in stationary and nonstationary models with a linear trend. Using semiparametric estimators, we obtain asymptotic confidence intervals for mean, trend, and memory parameters. The confidence intervals are applicable for a wide class of processes (including some nonlinear processes), exhibit high coverage accuracy and are easy to implement. We also develop joint hypothesis testing for these parameters, when the alternative for the memory parameter is one-sided, but the ones for the deterministic components are two-sided. We use our results to show that US GDP has less memory than is implied by a unit root, and that it evolves around a deterministic trend. This result has important implications for macroeconomic stabilization policies.

Working paper

Distaso W, Lupi P, Manenti FM, 2005, Platform Competition and Broadband Uptake: Theory and Empirical Evidence from the European Union

Broadband access provides users with high speed, always-on connectivity to the Internet. Due to its superiority, broadband is seen as the way for consumers and firms to exploit the great potentials of new applications. This has generated a policy debate on how to stimulate adoption of broadband technology. One of the most disputed issues is about competition policies: these may be intended to promote competition in the Digital Subscriber Line (DSL) segment of the market (intra- platform competition), or to stimulate entry into the market for alternative platforms such as cable access or fiber optics (inter- platform competition). Using a model of oligopoly competition between differentiated products, our paper explicitly studies the effect of inter and intra platform competition on the diffusion of broadband access. The implications of the model are then tested using data from 14 European countries. The econometric evidence confirms the results of the theoretical model and indicates that while inter-platform competition drives broadband adoption, competition in the market for DSL services does not play a significant role. The results also confirm that lower unbundling prices stimulate broadband uptake.

Working paper

Distaso W, Awartani B, Corradi V, 2004, Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average

It is a well accepted fact that stock returns data are often contaminated by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover, and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model free measures of volatility, such as realized volatility. In this paper we suggest two test statistics. The first is used to test for the null hypothesis of no microstructure noise. If the null is rejected, we proceed to perform a test for the hypothesis that the microstructure noise variance is independent of the sampling frequency at which data are recorded. We provide empirical evidence based on the stocks included in the Dow Jones Industrial Average, for the period 1997-2002. Our findings suggest that, while the presence of microstructure induces a severe bias when estimating volatility using high frequency data, such a bias grows less than linearly in the number of intraday observatio

Working paper

Distaso W, Corradi V, 2004, Testing for One-Factor Models versus Stochastic Volatility Models

Working paper

Distaso W, Corradi V, 2004, Estimating and Testing Sochastic Volatility Models using Realized Measures

Working paper

Distaso W, Corradi V, Awartani B, 2004, Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average

Working paper

Distaso W, 2003, ARMA representation of squared Markov switching heteroskedastic models - Solution, ECONOMETRIC THEORY, Vol: 19, Pages: 412-413, ISSN: 0266-4666

Journal article

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