ProfessorWalter Distaso
Professor of Financial Econometrics
Department of Finance - Business School
Orcid identifier0000-0002-4122-0160 (opens in a new tab)
- Professor of Financial EconometricsDepartment of Finance - Business School
- 020 7594 3293 (Work)
- 3.02, 53 Prince's Gate, South Kensington Campus, United Kingdom
BIO
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.
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.
FACULTY
- Business School
POSITION NAME
- Professor of Financial Econometrics