Curriculum Vitae - Christopher Paul Walsh
Personal Data and Contact Details
Date of Birth: 12 June 1983
Place of Birth: Freiburg i. Breisgau, Germany
Address: Oskar-Morgenstern-Platz 1 1090 Wien
Non- and Semiparametric Statistics and Econometrics; Financial Econometrics; Time Series; High Dimensional Statistics
- 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.
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
2007 ifO institut, Munich
6 month contract as a Student research assistant in the Public Sector department
2005 - 2006 MediaCom UK, London
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
Thesis title: “Empirical Analysis of Auctions Data”
Supervisor: Prof. Joachim Winter
2002 – 2005 London School of Economics and Political Sciences
BSc Econometrics and Mathematical Economics
1993 – 2002 Martin-Schongauer Gymnasium, Breisach a. Rhein
Sep 2007 – Apr 2009 German Research Foundation (Dt. Forschungsgemeinschaft)
R, STATA, Eviews, C, Octave/Matlab
English, German (native), French (intermediate)