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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

 

Publications

     

    Working Papers

    • Locally Stationary Volatility Modelling (joint with Michael Vogt) pdf
    • Revisiting the Stealth Trading Hypothesis - Does Time-Varying Liquidity Explain The Size Effect? (joint with Gökhan Cebiroglu and Nikolaus Hautsch) pdf


    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

    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)