Walter Distaso

Imperial College Business School

Professor

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 16,843

SSRN RANKINGS

Top 16,843

in Total Papers Downloads

2,262

CITATIONS
Rank 7,155

SSRN RANKINGS

Top 7,155

in Total Papers Citations

67

Scholarly Papers (16)

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 Swiss Finance Institute & University of Lugano
Downloads 518 (30,451)
Citation 9

Abstract:

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

2.

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 266 (90,009)
Citation 30

Abstract:

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

3.

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 231 (94,431)

Abstract:

telecommunications, ladder of investment, unbundling, regulation

4.

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 198 (87,193)

Abstract:

referee bias, contest success function, economics of sport

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 155 (135,389)
Citation 4

Abstract:

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 82 (229,688)
Citation 1

Abstract:

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

7.

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 80 (231,230)
Citation 1

Abstract:

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

8.

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 77 (252,433)
Citation 2

Abstract:

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

9.

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 76 (250,500)
Citation 5

Abstract:

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

10.

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 65 (274,948)

Abstract:

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

11.

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 56 (298,199)

Abstract:

12.

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 38 (331,417)

Abstract:

13.

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 21 (418,032)
Citation 8

Abstract:

14.

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 17 (443,736)
Citation 2

Abstract:

15.

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 13 (453,950)
Citation 4

Abstract:

16.

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 13 (464,225)
Citation 1

Abstract: