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Curriculum Vitae - Christopher Paul Walsh

 

Personal Data and Contact Details

Date of Birth: 12 June 1983

Place of Birth: Freiburg i. Breisgau, Germany

Nationality: British

Address: Oskar-Morgenstern-Platz 1 1090 Wien

Tel.: +43-1-4277-386-87

Email: christopher.paul.walsh@univie.ac.at 

 

Research

Interests

Non- and Semiparametric Statistics and Econometrics; Financial Econometrics; Time Series; High Dimensional Statistics

Working Papers

  • Estimating Nonlinear Additive Models with Nonstationarities and Correlated Errors (joint with Michael Vogt) submitted. 
  • Locally Stationary Volatility Modelling (joint with Michael Vogt) submitted.
  • Revisiting the Stealth Trading Hypothesis - Does Time-Varying Liquidity Explain The Size Effect? (joint with Gökhan Cebiroglu and Nikolaus Hautsch)

Work in Progress

  • Time Series Properties of Liquidity Elasticity in Limit Order Book Markets. (joint with Nikolaus Hautsch)
  • Nonparametric Panel Regression with Fixed Effects Covariates. (joint with Michael Vogt)
  • LASSO Model Selection to alleviate Multiple Testing in Microeconometrics. (joint with Lena Janys)
  • Comparing Bandwidth Selection Procedures for Regression Models with Correlated Errors.
  • Bandwidth Selection for Nonparametric Regression in Large Data Sets.
  • Detecting Bellshaped Species Distributions. (joint with Johannes Wessely)
  • Time Series Decomposition with a Nonlinear Component capturing Trend and Seasonality.
  • R package for Smooth Backfitting Algorithm.

Professional Experience

2014 - present University of Vienna

PostDoc at the Department for Statistics and Operational Research (ISOR) at the chair for Finance and Statistics (Prof. Nikolaus Hautsch)

2009 - 2014 University of Mannheim

75% position as a scientific assistant at the chair for Empirical Economics (Prof. Carsten Trenkler)

2008 University of Mannheim

Teaching Assistant

2007 ifO institut, Munich

6 month contract as a Student research assistant in the Public Sector department

2005 - 2006 MediaCom UK, London

Econometrician

 

Education  

2007 – 2014 University of Mannheim

PhD at the Center for Doctoral Studies in Economics (Dr.rer.pol.)

Thesis title: “Estimating deterministics in univariate time series”

Supervisors: Prof. Carsten Trenkler and Prof. Enno Mammen

(Grade: summa cum laude)

2006 – 2007 Ludwig Maximilian University, Munich

MA Economics

Thesis title: “Empirical Analysis of Auctions Data”

Supervisor: Prof. Joachim Winter

(Grade: 1.62)

2002 – 2005 London School of Economics and Political Sciences

BSc Econometrics and Mathematical Economics

(Grade: First)

1993 – 2002 Martin-Schongauer Gymnasium, Breisach a. Rhein

Abitur

(Grade: 1.1)

 

Scholarships

Sep 2007 – Apr 2009 German Research Foundation (Dt. Forschungsgemeinschaft)

 

Language Skills

Software

R, STATA, Eviews, C, Octave/Matlab

Languages

English, German (native), French (intermediate)

 

 

 

 

Institut für Statistik und Operations Research
University of Vienna

Oskar-Morgenstern-Platz 1
1090 Vienna, Austria
Universität Wien | Universitätsring 1 | 1010 Wien | T +43-1-4277-0