Walter Distaso

Imperial College Business School

Professor

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

19

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Scholarly Papers (19)

1.

Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums

Swiss Finance Institute Research Paper No. 12-18
Number of pages: 70 Posted: 14 Feb 2012
Valentina Corradi, Walter Distaso and Antonio Mele
University of Warwick - Department of Economics, Imperial College Business School and USI Università della Svizzera italiana
Downloads 764 (31,737)
Citation 16

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Aggregate stock market volatility, volatility risk-premiums, volatility of volatility, business cycle, no-arbitrage restrictions, simulation-based inference

2.

Corruption and Referee Bias in Football: The Case of Calciopoli

Number of pages: 37 Posted: 13 Feb 2012
Imperial College Business School, University of London, University of Essex and University of Messina - Institute of Economics and Finance
Downloads 416 (69,508)
Citation 2

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referee bias, contest success function, economics of sport

3.

Platform Competition and Broadband Uptake: Theory and Empirical Evidence from the European Union

Number of pages: 24 Posted: 17 Aug 2004
Walter Distaso, Paolo Lupi and Fabio M. Manenti
Imperial College Business School, AGCOM - Italian Communication Regulatory Authority and University of Padua - Department of Economics and Management
Downloads 281 (108,267)
Citation 23

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Broadband, inter-platform and intra-platform competition, local loop unbundling

4.

Static and Dynamic Efficiency in the European Telecommunications Market: The Incentives to Invest and the Ladder of Investment

HANDBOOK OF RESEARCH ON TELECOMMUNICATIONS PLANNING AND MANAGEMENT - (AEBR) Book Series, Forthcoming
Number of pages: 16 Posted: 23 Dec 2008
Walter Distaso, Paolo Lupi and Fabio M. Manenti
Imperial College Business School, AGCOM - Italian Communication Regulatory Authority and University of Padua - Department of Economics and Management
Downloads 277 (109,960)

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telecommunications, ladder of investment, unbundling, regulation

5.

Tailing Tail Risk in the Hedge Fund Industry

Number of pages: 39 Posted: 18 Apr 2012
Walter Distaso, Marcelo Fernandes and Filip Zikes
Imperial College Business School, Queen Mary University of London - Economics Department and Imperial College London
Downloads 198 (153,391)
Citation 4

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alternative investment, copula, dynamic risk exposure, market uncertainty, tail dependence

6.

Design-Free Estimation of Variance Matrices

Number of pages: 43 Posted: 09 Aug 2011 Last Revised: 20 Nov 2014
Karim M. Abadir, Walter Distaso and Filip Zikes
Imperial College Business School, Imperial College Business School and Imperial College London
Downloads 105 (256,731)
Citation 8

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Variance matrices, ill-conditioning, mean squared error, mean absolute deviations, resampling

7.

Predictive Inference for Integrated Volatility

Number of pages: 54 Posted: 06 Mar 2007
Valentina Corradi, Walter Distaso and Norman R. Swanson
Queen Mary, University of London, Imperial College Business School and Rutgers University - Department of Economics
Downloads 99 (267,178)
Citation 7

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Diffusions, integrated volatility, realized volatility measures, kernels, microstructure noise, conditional confidence intervals, jumps, prediction

8.

International Market Links and Volatility Transmission

Number of pages: 47 Posted: 14 Feb 2012
Valentina Corradi, Walter Distaso and Marcelo Fernandes
University of Warwick - Department of Economics, Imperial College Business School and Queen Mary University of London - Economics Department
Downloads 97 (270,716)
Citation 1

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conditional independence, jump-diffusion, noncausality, quadratic variation, realized variance, stochastic

9.

The Cross-Section of Expected Jumps in Equity Returns

Number of pages: 34 Posted: 29 Aug 2018 Last Revised: 04 Sep 2019
Massimiliano Caporin, Walter Distaso and Nancy Zambon
University of Padua - Department of Statistical Sciences, Imperial College Business School and University of Padua - Department of Economics
Downloads 84 (298,809)

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jumps, equity returns, risk premia

10.

Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures

Number of pages: 40 Posted: 04 Oct 2005
Valentina Corradi, Walter Distaso and Norman R. Swanson
Queen Mary, University of London, Imperial College Business School and Rutgers University - Department of Economics
Downloads 83 (298,809)

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Diffusions, integrated volatility, realized volatility measures, kernels, microstructure noise

11.

Multivariate Mixture-of-Normals Hypothesis in Exchange Rates

Number of pages: 35 Posted: 27 Jul 2011 Last Revised: 08 May 2013
Walter Distaso and Filip Zikes
Imperial College Business School and Imperial College London
Downloads 72 (324,613)

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mixture of normals, realized covariance, continuous time models, high frequency data

12.

Asymptotic Normality for Weighted Sums of Linear Processes

Number of pages: 24 Posted: 15 Jan 2012
Imperial College Business School, Imperial College Business School, University of York - Department of Mathematics and Economics and Michigan State University
Downloads 65 (342,965)
Citation 2

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13.

Two Estimators of the Long-Run Variance: Beyond Short Memory

Number of pages: 38 Posted: 14 Jan 2012
Karim M. Abadir, Walter Distaso and Liudas Giraitis
Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics
Downloads 63 (348,528)

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14.

Nonstationarity-Extended Local Whittle Estimation

Journal of Econometrics, Vol. 141, No. 2, p. 1353, December 2007
Number of pages: 48 Posted: 14 Jan 2012
Karim M. Abadir, Walter Distaso and Liudas Giraitis
Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics
Downloads 32 (458,662)
Citation 4

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15.

The Determinants of Operational Risk Losses

Number of pages: 42 Posted: 25 Jun 2019 Last Revised: 25 Aug 2019
Daniela Alifano, Valentina Corradi and Walter Distaso
Imperial College Business School, University of Surrey - School of Economics and Imperial College Business School
Downloads 27 (483,233)

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operational risk, panel data, incidental parameters, jackknife, censoring

16.

Semiparametric Estimation and Inference for Trending I(D) and Related Processes

Number of pages: 27 Posted: 14 Jan 2012
Karim M. Abadir, Walter Distaso and Liudas Giraitis
Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics
Downloads 23 (505,176)
Citation 4

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17.

Testing Joint Hypotheses When One of the Alternatives is One-Sided

Number of pages: 45 Posted: 15 Jan 2012
Karim M. Abadir and Walter Distaso
Imperial College Business School and Imperial College Business School
Downloads 21 (516,939)
Citation 1

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18.

An I(d) Model with Trend and Cycles

Number of pages: 32 Posted: 14 Jan 2012
Karim M. Abadir, Walter Distaso and Liudas Giraitis
Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics
Downloads 16 (546,307)
Citation 1

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19.

Correlation Risk, Strings and Asset Prices

CEPR Discussion Paper No. DP13873
Number of pages: 48 Posted: 02 Aug 2019
Walter Distaso, Antonio Mele and Grigory Vilkov
Imperial College Business School, USI Università della Svizzera italiana and Frankfurt School of Finance & Management
Downloads 0 (670,915)
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arbitrage pricing, correlation premium, correlation-risk premium, cross-section of returns, implied correlation, string models