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Dr. Christopher Walsh

Wirtschafts- und Sozialstatistik

Contact

CDI-Gebäude,
Room 6
+49 231 755 - 5203
+49 231 755 - 5284
Fakultät Statistik
Technische Universität Dortmund
44221 Dortmund


Office hours

By appointment

Interests

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

 

Publikationen

  • Vogt, M. and Walsh, C. Estimating Nonlinear Additive Models with Nonstationarities and Correlated Errors (joint with Michael Vogt) Scandinavian Journal of Statistics, 46(1):p.160-199.

Papers under Review

  • Locally Stationary Volatility Modelling (joint with Michael Vogt) pdf

Pre-Prints

  • Revisiting the Stealth Trading Hypothesis - Does Time-Varying Liquidity Explain The Size Effect? (joint with Gökhan Cebiroglu and Nikolaus Hautsch)   http://ssrn.com/abstract=3446394

Work in Progress

  • Nonparametric Panel Regression with Fixed Effects Covariates. (joint with Michael Vogt and Oliver Linton)
  • LASSO Model Selection to alleviate Multiple Testing in Microeconometrics. (joint with Lena Janys)
  • Estimating Limiting Variance of Matching Estimators by M-out-of-N Bootstrap (joint with Shaikh Hossain and Carsten Jentsch)
  • Comparing Bandwidth Selection Procedures for Regression Models with Correlated Errors.
  • Bandwidth Selection for Nonparametric Regression in Large Data Sets.
  • Time Series Decomposition with a Nonlinear Component capturing Trend and Seasonality.
  • R package for Smooth Backfitting Algorithm.

 

Professional Experience

2018 - present TU Dortmund

PostDoc for the SFB 823 "Statistical modelling of nonlinear dynamic processes" and at the Department of Statistics at chair of Business and Social Statistics (Prof. Carsten Jentsch) and Statistical modelling of nonlinear dynamic processes

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)