Walter Distaso

Imperial College Business School

Professor

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

  • Imperial College Business School

SCHOLARLY PAPERS

24

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TOTAL CITATIONS
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Top 11,613

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95

Scholarly Papers (24)

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1.

The Three Types of Backtests

Number of pages: 19 Posted: 23 Jul 2024
Jacques Joubert, Dragan Sestovic, Illya Barziy, Walter Distaso, Marcos Lopez de Prado and Marcos Lopez de Prado
Abu Dhabi Investment Authority, Multifactor Analytics and Consulting, Abu Dhabi Investment Authority, Imperial College Business School and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 5,892 (2,797)

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Backtesting, simulation, selection bias under multiple testing, evaluation, G1, G2, G11, G15, G17, G24, C58, best practices

2.

Corruption and Referee Bias in Football: The Case of Calciopoli

Number of pages: 37 Posted: 13 Feb 2012
Walter Distaso, Leone Leonida, Dario Maimone Ansaldo Patti, Dario Maimone Ansaldo Patti and Pietro Navarra
Imperial College Business School, University of London, University of EssexUniversity of Messina and University of Messina - Institute of Economics and Finance
Downloads 1,263 (33,162)
Citation 2

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referee bias, contest success function, economics of sport

3.

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 University of Lugano
Downloads 1,042 (43,649)
Citation 21

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

4.

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 327 (184,979)
Citation 25

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

5.

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 312 (194,449)

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

6.

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 311 (195,137)

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telecommunications, ladder of investment, unbundling, regulation

7.

The Cross-Section of Expected Jumps in Equity Returns

Downloads 265 (230,247)

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 176 (338,277)

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jumps, equity returns, risk premia

The Cross-Section of Expected Jumps in Equity Returns

Number of pages: 36 Posted: 09 Dec 2023
Massimiliano Caporin, Walter Distaso and Nancy Zambon
University of Padua - Department of Statistical Sciences, Imperial College Business School and University of Padua
Downloads 89 (574,966)

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jumps, equity returns, risk premia

8.

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 252 (242,099)
Citation 4

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

9.

Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices

Downloads 190 (316,383)

Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices

Swiss Finance Institute Research Paper No. 20-119
Number of pages: 55 Posted: 10 Sep 2020 Last Revised: 14 Jan 2021
Walter Distaso, Antonio Mele and Grigory Vilkov
Imperial College Business School, University of Lugano and Frankfurt School of Finance & Management
Downloads 189 (317,104)

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correlation premium, premium for correlation risk, cross-section of returns, big stocks, arbitrage pricing, string models, implied correlation.

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, University of Lugano and Frankfurt School of Finance & Management
Downloads 1 (1,292,554)
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arbitrage pricing, correlation premium, correlation-risk premium, cross-section of returns, implied correlation, string models

10.

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 172 (345,686)
Citation 15

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

11.

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 134 (424,424)
Citation 7

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12.

Price Manipulation and Collusion around the London 4pm Fix *

Number of pages: 50 Posted: 20 May 2024
Paolo Colla, Walter Distaso and Paolo Vitale
Bocconi University - Department of Finance, Imperial College Business School and G. d'Annunzio University - Dipartimento di Economia
Downloads 132 (434,627)

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F31, G14, G15 FX Market Microstructure, Price Manipulation, London 4pm Fix

13.

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 128 (439,875)
Citation 1

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

14.

Asymptotic Normality for Weighted Sums of Linear Processes

Number of pages: 24 Posted: 15 Jan 2012
Karim M. Abadir, Walter Distaso, Liudas Giraitis and Hira Koul
Imperial College Business School, Imperial College Business School, University of York - Department of Mathematics and Economics and Michigan State University
Downloads 121 (459,162)
Citation 2

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15.

Predictive Inference for Integrated Volatility

Number of pages: 54 Posted: 06 Mar 2007
Valentina Corradi, Walter Distaso, Norman R. Swanson and Norman R. Swanson
Queen Mary, University of London, Imperial College Business School and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 119 (464,972)
Citation 8

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

16.

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, Norman R. Swanson and Norman R. Swanson
Queen Mary, University of London, Imperial College Business School and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 107 (506,541)
Citation 2

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

17.

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 106 (506,541)

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18.

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 99 (531,450)

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

19.

Psychological Distress and Work and Social Adjustment in the COVID-19 Pandemic: A Cross-Country Analysis

Number of pages: 20 Posted: 09 Feb 2022
Walter Distaso, Ana Nikcevic and Marcantonio Spada
Imperial College Business School, Kingston University and London South Bank University
Downloads 89 (568,547)

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COVID-19, psychological distress, work and social adjustment, anxiety

20.

Business Cycle and Realized Losses in the Consumer Credit Industry

Number of pages: 36 Posted: 09 Jan 2024
Francesco Roccazzella, Walter Distaso and Frédéric D. Vrins
IESEG School of Management, Imperial College Business School and LFIN/LIDAM, UCLouvain
Downloads 64 (681,583)

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Credit Risk, Consumer Credit, Loss Given Default, Non-Performing Loans

21.

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 56 (725,622)
Citation 3

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22.

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 55 (731,505)
Citation 4

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23.

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 50 (762,755)
Citation 1

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24.

Political debate and Economic Growth: the case of Italy *

Number of pages: 32 Posted: 07 Jun 2024
Alessandra Amendola, Walter Distaso and Alessandro Grimaldi
University of Salerno - Dept. of Economics and Statistics, Imperial College Business School and University of Salerno - Dept. of Economics and Statistics
Downloads 16 (1,064,705)

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political uncertainty, economic growth, NLP JEL classification: E37, E32, C53