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
- Walsh, C., Jentsch, C. & Hossain, S.T.: Nearest neighbor matching:Does the M-out-of-N bootstrap work when the naïve bootstrap fails? Discussion Paper
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)
