SSRN logo
Public User
Advanced Search

Tony S. Wirjanto

Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Professor

200 University Avenue West

Waterloo, Ontario N2L 3G1

Canada

http://https://uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

  • Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

    • Email
    • Tel: 519-888-4567 x35210
SCHOLARLY PAPERS

74

DOWNLOADS
Rank 28,632

SSRN RANKINGS

Top 28,632

in Total Papers Downloads

1,290

CITATIONS
Rank 28,900

SSRN RANKINGS

Top 28,900

in Total Papers Citations

8

Scholarly Papers (74)

Actions:
Email selected abstracts
1.

Liquidity Risk and Cross-Sectional Returns: Evidence from the Chinese Stock Markets

Finance Research Letters, Vol. 6, No. 4, 2009
Number of pages: 22 Posted: 21 Feb 2007 Last Revised: 02 Nov 2010
Feng Zhang, Yao Tian and Tony S. Wirjanto
University of Utah - Department of Finance, Independent and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 355 (62,020)
Citation 3

Abstract:

Liquidity risk, systematic risk factor

2.

Do Foreigners Facilitate Information Transmission in Emerging Markets?

Journal of Financial Economics. Forthcoming
Number of pages: 47 Posted: 27 Feb 2007 Last Revised: 14 Mar 2012
Kee-Hong Bae, Arzu Ozoguz, Hongping Tan and Tony S. Wirjanto
York University - Schulich School of Business, Southern Methodist University (SMU) - Finance Department, York University - Schulich School of Business and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 219 (106,809)
Citation 2

Abstract:

lead-lag cross-autocorrelations, information diffusion, price delay, foreign investment, emerging markets

3.

Empirical Evidence on the Sustainability of the IT Innovation Capability

Number of pages: 38 Posted: 04 Mar 2008 Last Revised: 16 Jul 2014
Jee-Hae Lim, Theophanis C. Stratopoulos and Tony S. Wirjanto
University of Waterloo - School of Accounting and Finance, University of Waterloo - School of Accounting and Finance and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 109 (205,702)

Abstract:

IT innovation, Absorptive Capacity, Persistence, Dynamic Random Effect Probit Model

4.

The Impact of Senior IT Executives on IT Capability

CAAA Annual Conference 2012
Number of pages: 40 Posted: 11 Jan 2012
Jee-Hae Lim, Theophanis C. Stratopoulos and Tony S. Wirjanto
University of Waterloo - School of Accounting and Finance, University of Waterloo - School of Accounting and Finance and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 73 (237,143)

Abstract:

CIO, IT capability, Sustainable IT capability, Business Value of IT, Structural Power

5.

Is China’s P/E Ratio Too Low? Examining the Role of Earnings Volatility

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 42 Posted: 01 Jul 2010 Last Revised: 01 Aug 2011
Tony S. Wirjanto and Alan Guoming Huang
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo, and University of Waterloo
Downloads 73 (256,970)

Abstract:

P/E ratio, China, U.S., earnings volatility

6.

Senior Executives, IT Reputation Building & Implications for Market Valuation

CAAA Annual Conference 2013
Number of pages: 37 Posted: 15 Jan 2013
Jee-Hae Lim, Theophanis C. Stratopoulos and Tony S. Wirjanto
University of Waterloo - School of Accounting and Finance, University of Waterloo - School of Accounting and Finance and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 69 (258,954)

Abstract:

IT reputation, Tobin’s Q, CEO, IT executives, expert power, structural power

7.

Sustainability of a Firm's Reputation for IT Capability: The Role of Senior IT Executives

Journal of Management Information Systems, Forthcoming
Number of pages: 46 Posted: 11 Feb 2013 Last Revised: 20 Jul 2014
Jee-Hae Lim, Theophanis C. Stratopoulos and Tony S. Wirjanto
University of Waterloo - School of Accounting and Finance, University of Waterloo - School of Accounting and Finance and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 45 (298,251)
Citation 1

Abstract:

IT capability reputation, IT executives, IT strategic leadership, structural power, institutional theory, external legitimacy, internal legitimacy, reciprocity

8.

A Simple Model of the Nominal Term Structure of Interest Rates

Number of pages: 20 Posted: 27 Mar 2013
Youngsoo Choi and Tony S. Wirjanto
Hankuk University of Foreign Studies and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 28 (400,104)

Abstract:

interest rates, drift, AR, volatility, NGARCH, zero-coupon bond price, yield to maturity

9.

Functional of the Diffusion Path of a Two-State Markov-Chain Model for Option Pricing

Number of pages: 15 Posted: 27 Mar 2013
James Redekop and Tony S. Wirjanto
Independent and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 22 (413,485)

Abstract:

Markov-chain, diffusion, volatility, density

10.

A Stylized Exchange Rate Pass-Through Model of Crude Oil Price Formation

OPEC Review, Vol. 29, No. 3, pp. 177-197, September 2005
Number of pages: 18 Posted: 05 Nov 2005
Ayoub Yousefi and Tony S. Wirjanto
University of Western Ontario - Department of Economics and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 21 (443,690)
  • Add to Cart

Abstract:

11.

Modeling the Leverage Effect with Copulas and Realized Volatility

Finance Research Letters 5 (2008) 221-227
Number of pages: 7 Posted: 31 Mar 2013 Last Revised: 26 Jan 2015
Cathy Ning, Dinghai Xu and Tony S. Wirjanto
Ryerson University, Independent and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 2 (519,772)
Citation 1

Abstract:

Leverage effect, Copulas, Tail dependence, Realized volatility, High frequency data

12.

Testing the Stochastic Implications of the Permanent Income Hypothesis Using Canadian Provincial Data

Oxford Bulletin of Economics and Statistics, Vol. 72, Issue 1, pp. 89-108, February 2010
Number of pages: 20 Posted: 21 Dec 2009
Joseph P. DeJuan, John J. Seater and Tony S. Wirjanto
University of Waterloo - Department of Economics, Economics Dept., Boston College and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 2 (540,692)
Citation 1
  • Add to Cart

Abstract:

13.

Valuation of Carbon Emission Allowances and Related Derivatives Under a Closed Trading Phase

Number of pages: 57 Posted: 19 Jun 2017
Mingyu Fang, Ken Seng Tan and Tony S. Wirjanto
Department of Statistics and Actuarial Science, University of Waterloo, University of Waterloo and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 0 (485,340)

Abstract:

Climate change, Carbon dioxide, Valuation of carbon emission allowances, Market completeness, Market and information incompleteness, Analytical Analysis, Numerical Analysis.

14.

Improved Global Minimum Variance Portfolio via Tail Eigenvalues Amplification

Number of pages: 24 Posted: 28 Apr 2017 Last Revised: 16 Jul 2017
Danqiao Guo, Chengguo Weng and Tony S. Wirjanto
University of Waterloo, University of Waterloo and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 0 (387,919)

Abstract:

Global Minimum Variance Portfolio, Tail Eigenvalues Amplification, Risk Reduction, High-Dimensionality

15.

Stationarity As a Path Property with Applications in Time Series Analysis

Posted: 09 Jul 2016
Yi Shen and Tony S. Wirjanto
Department of Statistics & Actuarial Science, University of Waterloo and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

stationary process; path property; time series

16.

The Return Premiums to Accruals Quality

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 31 Posted: 24 Oct 2015 Last Revised: 25 Oct 2015
Sati P. Bandyopadhyay, Alan Guoming Huang, Kevin Jialin Sun and Tony S. Wirjanto
University of Waterloo, University of Waterloo, St. John's University and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 0 (222,873)

Abstract:

Accruals quality, Stock returns, Return premium, Information uncertainty

17.

Are Industry-Relative Financial Ratios More Stable? The Case of Bankruptcy Prediction

Posted: 05 Jun 2015
Hong Long Chen and Tony S. Wirjanto
National University of Tainan and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Bankruptcy prediction; Financial failure; Industry-relative ratio; Logit models

18.

Performance Measurement and the Prediction of Corporate Bankruptcy

Posted: 05 Jun 2015
Hong Long Chen and Tony S. Wirjanto
National University of Tainan and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Bankruptcy prediction; Financial failure; Performance measurement; Logit models

19.

Is Volatility Clustering of Asset Returns Asymmetric?

Journal of Banking and Finance, Vol. 52, 2015
Posted: 26 Jan 2015
Cathy Ning, Dinghai Xu and Tony S. Wirjanto
Ryerson University, Independent and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Volatility clustering, Univariate time series copulas, Realized kernel volatility, Value-at-Risk

20.

Bayesian Inference of Multiscale Stochastic Conditional Duration Models

Posted: 03 Sep 2014
Tony S. Wirjanto, Zhongxian Men and Adam W. Kolkiewicz
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,, Independent and Independent

Abstract:

Markov Chain Monte Carlo; Multiscale; Auxiliary particle filter; Probability integral transform; Deviance information criterion.

21.

Threshold Stochastic Conditional Duration Model for Transaction Data

Posted: 03 Sep 2014 Last Revised: 01 Jan 2015
Tony S. Wirjanto, Zhongxian Men and Adam W. Kolkiewicz
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,, Independent and Independent

Abstract:

Stochastic conditional duration; Threshold; Bayesian inference; Markov Chain Monte Carlo; Probability integral transform; Deviance information criterion

22.

Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects

Posted: 02 Sep 2014
Tony S. Wirjanto, Zhongxian Men and Adam W. Kolkiewicz
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,, Independent and Independent

Abstract:

Stochastic Volatility; Bayesian Inference; Markov Chain Monte Carlo; Leverage Effect; Acceptance-rejection; Slice Sampler.

23.

The Impacts of Financial Crisis on Sovereign Credit Risk Analysis in Asia and Europe

Posted: 01 Jul 2013
Min Zhang, Adam W. Kolkiewicz, Tony S. Wirjanto and Xindan Li
Independent, Independent, Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo, and Nanjing University

Abstract:

Sovereign credit risk, financial crisis, Credit Default Swaps data, Asia, Europe, commonality, local and global, factors, principal component analysis, pricing model, maximum likelihood

24.

Pricing Financial Derivatives by Gram-Charlier Expansions

Posted: 13 May 2013
Yin-Hei Cheng and Tony S. Wirjanto
Scotiabank and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Cumulants, moments, swaption prices, CIR2 Model, CIR Model, Brennan-Schwarz's Model, Heston's Model

25.

Discrete-Time Portfolio Optimization with Transaction Costs

Posted: 13 May 2013
Feiran Tao and Tony S. Wirjanto
Independent and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

discrete time, continuous time, optimal portfolio, proportional and fixed transaction costs, singular and impulse stochastic control problems, PDE

26.

An Empirical Characteristic Function Approach to VaR Under a Mixture-of-Normal Distribution with Time-Varying Volatility

Journal of Derivatives (2010), 18, 1, 39-58
Posted: 04 Apr 2013
Dinghai Xu and Tony S. Wirjanto
Independent and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Value at Risk, Expected Shortfall, Mixtures of Normal, GARCH, Characteristic Function

27.

Computation of Portfolio VaRs with GARCH-Type Volatility

Posted: 02 Apr 2013
Dinghai Xu and Tony S. Wirjanto
Independent and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Multivariate Models, Independent Component Analysis, Principal Component Analysis, GARCH, Value at Risk

28.

A Mixture-of-Normal Distribution Modeling Approach in Financial Econometrics: A Selected Review

Posted: 02 Apr 2013
Tony S. Wirjanto and Dinghai Xu
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo, and Independent

Abstract:

Mixtures of Normal, Maximum Likelihood, Moment Generating Function, Characteristic Function, Switching Regression Model, (G)ARCH Model, Stochastic Volatility Model, Autoregressive Conditional Duration Model, Stochastic Duration Model, Value at Risk

29.

Stochastic Conditional Duration Model with a Mixture-of-Normal Error Distribution: Theoretical Properties and Monte-Carlo Results

Posted: 02 Apr 2013
Dinghai Xu, John Knight and Tony S. Wirjanto
Independent, University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased) and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Stochastic Conditional Duration Model, Autoregressive Conditional Duration Model, Leverage Effect, Discrete Mixtures of Normal, Empirical Characteristic Function

30.

Risk Measures under a Stochastic Volatility Model with a Mixture-of-Normal Error Distribution

Posted: 02 Apr 2013
Dinghai Xu and Tony S. Wirjanto
Independent and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Value at Risk, Stochastic Volatility, Mixture of Normals, Generalized Method of Moments, Markov Chain Monte Carlo

31.

Time-Deformation Modeling of Stock Returns Directed by Duration Processes

Econometric Reviews, Forthcoming
Posted: 01 Apr 2013
Dingan Feng, Peter X. K. Song and Tony S. Wirjanto
Independent, Independent and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Duration process, Ergodicity, Method of simulated moments, Return process, Stationarity

32.

Testing the Permanent Income Hypothesis: The Evidence from Canadian Data

Canadian Journal of Economics, Vol. 24, No. 3, pp. 563-577, August 1991
Posted: 31 Mar 2013
Tony S. Wirjanto
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Asset Pricing, Consumption, Permanent Income, Current Income, Liquidity Constraint, Generalized Method of Moments

33.

Stochastic Conditional Duration Models with Mixture Processes

Posted: 31 Mar 2013 Last Revised: 01 Jan 2015
Tony S. Wirjanto, Adam W. Kolkiewicz and Zhongxian Men
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,, Independent and Independent

Abstract:

Stochastic conditional duration, Mixture of distributions, Bayesian inference, Markov Chain Monte Carlo, Leverage effect, Slice sampler

34.

On the Stability of Long-Run M2 Demand in Japan

The Japanese Economic Review, Vol. 51, No. 4, December 2000.
Posted: 31 Mar 2013
Robert A. Amano and Tony S. Wirjanto
Bank of Canada & CREFE and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

35.

Money Stock Targeting and Money Supply: A Closer Examination of the Data

Journal of Applied Econometrics, Vol. 11, pp. 93-104, 1996
Posted: 31 Mar 2013
Robert A. Amano and Tony S. Wirjanto
Bank of Canada & CREFE and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Money Supply, Linear Quadratic Model, Forcing Process, Stationarity, Nonstationarity

36.

The Role of Risk and Risk Aversion in an Individual's Migration Decision

Stachastic Models, Vol. 20, No. 2, pp. 129-147, 2004
Posted: 31 Mar 2013
Tan Wang and Tony S. Wirjanto
University of British Columbia (UBC) - Division of Finance and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Migration, Optimal stopping time, Risk aversion, Uncertainty

37.

Risk Function of Zellner's Extended Melo Estimators and Some Monte Carlo Results

Journal of Quantitative Economics, Vol. 16, No. 2, July 2001, 1-18
Posted: 31 Mar 2013
Sukesh K. Ghosh and Tony S. Wirjanto
Independent and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Extended minimum expected loss function estimator, Risks, Monte Carlo Experiment

38.

Testing the Permanent-Income Hypothesis: New Evidence from West-German States (Länder)

Empirical Economics 31:613-629, 2006
Posted: 31 Mar 2013
Joseph P. DeJuan, John J. Seater and Tony S. Wirjanto
University of Waterloo - Department of Economics, Economics Dept., Boston College and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Consumption, Permanent Income, West Germany

39.

Toward a Bayesian Inference of Time-Deformation Models: Some Simulation Studies

Posted: 31 Mar 2013
Tony S. Wirjanto and Zhongxian Men
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo, and Independent

Abstract:

Time- deformation model, Bayesian Inference, Slice sampler, Leverage effect.

40.

The Empirical Role of the Exchange Rate on the Crude-Oil Price Formation

Energy Economics 26 (2004) 783-799
Posted: 31 Mar 2013
Ayoub Yousefi and Tony S. Wirjanto
University of Western Ontario - Department of Economics and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Exchange rate pass through, Invoicing currency, Crude oil prices, OPEC

41.

Aggregate Consumption Behaviour with Time-Nonseparable Preferences and Liquidity Constraints

Applied Financial Economics, 1997, 7, 107-114
Posted: 31 Mar 2013
Tony S. Wirjanto
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Asset Pricing, Consumption, Liquidity Constraint, Durability, Habit Persistence, Generalized Method of Moments

42.

Bayesian Inference of Asymmetric Stochastic Conditional Duration Models

Posted: 31 Mar 2013 Last Revised: 01 Jan 2015
Zhongxian Men, Adam W. Kolkiewicz and Tony S. Wirjanto
Independent, Independent and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Stochastic Duration, Bayesian Inference, Markov Chain Monte Carlo, Leverage Effect, Acceptance-rejection, Slice Sampler

43.

An Empirical Study of Dynamic Labor Demand with Integrated Forcing Processes

Journal of Macroeconomics, Fall 1997, Vol. 19, No. 4, pp. 697-715.
Posted: 31 Mar 2013
Robert A. Amano and Tony S. Wirjanto
Bank of Canada & CREFE and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

44.

Intertemporal Substitution, Imports and the Permanent Income Model

Journal of International Economics, 40, 439-457, 1996
Posted: 31 Mar 2013
Tony S. Wirjanto and Robert A. Amano
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo, and Bank of Canada & CREFE

Abstract:

Intertemporal elasticity of substitution, Imports, Consumption, Cointegration, Generalized method of moments

45.

On the Efficiency of Conditional Heteroskedasticity Models

Review of Quantitative Finance and Accounting, 10 (1998): 21-37
Posted: 31 Mar 2013
T. Y. Lee and Tony S. Wirjanto
Independent and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Financial time series, ARCH, non-normality, generalized method of moments, optimal choice of instruments, maximum likelihood, efficiency

46.

Asymmetric Stochastic Conditional Duration Model — A Mixture-of-Normal Approach

Journal of Financial Econometrics, Vol. 9, No. 3, 469-488, 2011
Posted: 31 Mar 2013
Dinghai Xu, John Knight and Tony S. Wirjanto
Independent, University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased) and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Stochastic Duration Model, Mixture of Normal Distribution, Leverage Effect, Continuous Empirical Characteristic Function

47.

The Proportion of Females in the Establishment: Discrimination, Preferences and Technology

Canadian Public Policy, 1999, 25, 73-94
Posted: 31 Mar 2013
Kevin T. Reilly and Tony S. Wirjanto
University of Leeds - Leeds University Business School (LUBS) and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

48.

Bayesian Analysis of a Threshold Stochastic Volatility Model

Posted: 31 Mar 2013
Tony S. Wirjanto, Adam W. Kolkiewicz and Zhongxian Men
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,, Independent and Independent

Abstract:

Threshold Stochastic Volatility, Bayesian Inference, MCMC, Deviance Information Criteria

49.

Exchange Rate of the US Dollar and the J Curve: The Case of Oil Exporting Countries

Energy Economics 25 (2003) 741-765.
Posted: 31 Mar 2013
Ayoub Yousefi and Tony S. Wirjanto
University of Western Ontario - Department of Economics and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Trade balance, J-curve, Invoicing currency, Exchange rate pass-through, Crude oil

50.

Empirical Indicators of Currency Crises in East Asia

Pacific Economic Review, 4: 2 (1999) pp. 165-183
Posted: 31 Mar 2013
Tony S. Wirjanto
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

51.

Exploring Consumption-Based Asset Pricing Model with Stochastic-Trend Forcing Processes

Applied Economics, 36:14, 1591-1597, 2004
Posted: 31 Mar 2013
Tony S. Wirjanto
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Asset Pricing, Consumption, Generalized Method of Moments, Cointegration, Preference Parameters

52.

A Direct Test of the Permanent Income Hypothesis with an Application to the U.S. States

Journal of Money, Credit and Banking, Vol. 36, No. 6, pp. 1091-1103, December 2004
Posted: 31 Mar 2013
Joseph P. DeJuan, John J. Seater and Tony S. Wirjanto
University of Waterloo - Department of Economics, Economics Dept., Boston College and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Permanent income, Consumption, US states

53.

Uncertainty, Unemployment Insurance, Individual's Optimal Stopping Time and Duration of Unemployment

Posted: 31 Mar 2013
Tan Wang and Tony S. Wirjanto
University of British Columbia (UBC) - Division of Finance and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Unemployment insurance, income, utility function, Brownian motions, search, waiting, exit, continuation region

54.

Nonstationary Regression Models with a Lagged Dependent Variable

Communications in Statistics - Theory and Methods, 25(7), 1489-1503 (1996)
Posted: 31 Mar 2013
Robert A. Amano and Tony S. Wirjanto
Bank of Canada & CREFE and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Time series, integration, cointegration, spurious regression, dynamic regression

55.

An Analytic Approximation Formula for Pricing Zero-Coupon Bonds

Finance Research Letters 4 (2007) 116-126, 1997
Posted: 31 Mar 2013
Youngsoo Choi and Tony S. Wirjanto
Hankuk University of Foreign Studies and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

One-factor model, Zero-coupon bond, Approximate price, True price

56.

Aggregate Consumption Behaviour and Liquidity Constraints: The Canadian Evidence

Canadian Journal of Economics, Vol. 28, No. 4b, pp. 1135-115, November 1995
Posted: 31 Mar 2013
Tony S. Wirjanto
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Asset Pricing, Consumption, Permanent Income, Current Income, Liquidity Constraint, Generalized Method of Moments

57.

A Threshold Stochastic Conditional Duration Model for Financial Transaction Data

Posted: 31 Mar 2013 Last Revised: 01 Jan 2015
Zhongxian Men, Tony S. Wirjanto and Adam W. Kolkiewicz
Independent, Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo, and Independent

Abstract:

Threshold, MCMC, Auxiliary particle filter, Deviance information criterion

58.

The Impact of Sales Taxation on Internet Commerce — An Empirical Analysis

Economics Letters 99 (2008) 557-560
Posted: 31 Mar 2013
Shamim Ahmed and Tony S. Wirjanto
Independent and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Tax incidence, Business taxation

59.

Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach

Finance Research Letters 6 (2009) 202–209,
Posted: 31 Mar 2013
Cathy Ning and Tony S. Wirjanto
Ryerson University and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Return–volume dependence, Extreme returns, Copulas, Tail dependence

60.

The Limiting Distributions of Unit-Root Tests for Data with Cross-Sectional and Time-Series Dimensions

Statistics & Probability Letters 30 (1996) 73-77
Posted: 31 Mar 2013
Tony S. Wirjanto
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Unit root, Cross section, Time series, Limiting distribution, Wiener process

61.

An Empirical Investigation into The Permanent Income Hypothesis: Further Evidence from the Canadian Data

Applied Economics, 1996, 28, 1451-1461
Posted: 31 Mar 2013
Tony S. Wirjanto
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Permanent Income, Current Income, Liquidity Constraint, Generalized Method of Moments

62.

Seasonal Unit-Root Tests on Canadian Macroeconomic Time Series

Economics Letters 34 (1990) 117-120
Posted: 31 Mar 2013
Glenn Otto and Tony S. Wirjanto
UNSW Australia Business School, School of Economics and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

63.

Worst-Case Copulas, Mass Transportation and Wrong-Way Risk in Counterparty Credit Risk Management

Posted: 31 Mar 2013
Amir Memartoluie, David Saunders and Tony S. Wirjanto
Independent, University of Waterloo and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Conterparty Credit Risk, Wrong-way Risk, Mass Transportation

64.

Estimating the Impacts of Cigarette Taxes on Youth Smoking Participation, Initiation, and Persistence: Empirical Evidence from Canada

Health Economics 19: 1264-1280 (2010)
Posted: 31 Mar 2013
Anindya Sen and Tony S. Wirjanto
Independent and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

youth smoking participation and initiation, cigarette taxes

65.

Path Dependence of Dynamic Information Technology Capability: An Empirical Investigation

Journal of Management Information Systems, Vol. 28, No. 3, pp. 45-84, Winter 2011-2012
Posted: 04 Aug 2011 Last Revised: 13 Jun 2014
Jee-Hae Lim, Theophanis C. Stratopoulos and Tony S. Wirjanto
University of Waterloo - School of Accounting and Finance, University of Waterloo - School of Accounting and Finance and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

IT Business Value, Dynamic Organizational IT Capability, Path Dependence, True State Dependence, Dynamic Random Effects, Fixed Effects Logit Models

66.

Role of IT Executives on Their Firm’s Ability to Achieve Competitive Advantage Through IT Capability

International Journal of Accounting Information Systems, Forthcoming
Posted: 15 Jun 2011 Last Revised: 20 Jul 2014
Jee-Hae Lim, Theophanis C. Stratopoulos and Tony S. Wirjanto
University of Waterloo - School of Accounting and Finance, University of Waterloo - School of Accounting and Finance and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Business Value of IT, CIO, IT capability, Structural Power, Tobin's q

67.

Inference about Clustering and Parametric Assumptions in Covariance Matrix Estimation

Computational Statistics and Data Analysis 56 (2012) 1–14. ,
Posted: 10 Dec 2010 Last Revised: 29 Mar 2013
Mikko Packalen and Tony S. Wirjanto
University of Waterloo - Department of Economics and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

covariance matrix estimator; cluster-robust; heteroskedasticity-robust; power; size, finite samples

68.

Contrasting Two Approaches in Real Options Valuation: Contingent Claims versus Dynamic Programming

Journal of Forest Economics, 16 (2010),157–176.,
Posted: 14 Mar 2008 Last Revised: 29 Mar 2013
Margaret C. Insley and Tony S. Wirjanto
University of Waterloo - Department of Economics and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

optimal harvesting, real options, contingent claims, dynamic programming, market price of risk

69.

Do Chinese Publicly Listed Companies Adjust their Capital Structure Toward a Target Level?

China Economic Review 20 (2009) 662–676.,
Posted: 21 Feb 2007 Last Revised: 01 Apr 2013
Yanmin Qian, Yao Tian and Tony S. Wirjanto
Zhejiang University, Independent and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Capital structure, Chinese companies, Institutional structure, Trade off theory, Pecking order theory, Dynamic panel-data regression, Dynamic panel-data GMM

70.

Does More Mean Less? The Male/Female Wage Gap and the Proportion of Females at the Establishment Level

The Canadian Journal of Economics, Vol. 32, No. 4(Aug. 1999), pp. 906-929
Posted: 25 Aug 1999 Last Revised: 31 Mar 2013
Kevin T. Reilly and Tony S. Wirjanto
University of Leeds - Leeds University Business School (LUBS) and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

71.

Adjustment Costs and Import Demand Behavior: Evidence from Canada and The United States

Journal of International Money and Finance, Vol. 16, No. 3, pp. 461-476, 1997
Posted: 25 Aug 1998 Last Revised: 29 Mar 2013
Robert A. Amano and Tony S. Wirjanto
Bank of Canada & CREFE and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

72.

Government Expenditures and the Permanent-Income Model

REVIEW OF ECONOMIC DYNAMICS 1, 719-730.
Posted: 25 Aug 1998 Last Revised: 29 Mar 2013
Robert A. Amano and Tony S. Wirjanto
Bank of Canada & CREFE and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

permanent income, cointegration, government expenditure, consumption

73.

Re-Examining Variance-Bounds Tests for Asset Prices

Review of Quantitative and Finance Accounting, Vol. 10, March 1998
Posted: 29 May 1998
Robert A. Amano and Tony S. Wirjanto
Bank of Canada & CREFE and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

74.

Intratemporal Substitution and Government Spending

The Review of Economics and Statistics, Vol. 79, No. 4, November 1997
Posted: 10 Apr 1998
Robert A. Amano and Tony S. Wirjanto
Bank of Canada & CREFE and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

Other Papers (3)

Total Downloads: 668    Citations: 1
Actions:
Email selected abstracts
1.

The Pricing of Accrual Quality

Number of pages: 63 Posted: 05 Jul 2010 Last Revised: 14 Dec 2011
Sati P. Bandyopadhyay, Tony S. Wirjanto and Alan Guoming Huang
University of Waterloo, Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo, and University of Waterloo
Downloads 420 (30,967)

Abstract:

Accrual quality, Stock returns, Return premium, Pricing factor, Information uncertainty

2.

The Value of Long-Term Accrual Management

AAA 2010 Financial Accounting and Reporting Section (FARS) Paper
Number of pages: 47 Posted: 03 Sep 2009 Last Revised: 23 Apr 2011
Tony S. Wirjanto, Sati P. Bandyopadhyay and Alan Guoming Huang
Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,, University of Waterloo and University of Waterloo
Downloads 156

Abstract:

value, earnings smoothing, accrual volatility, future returns

3.

Does Income Smoothing Really Create Value?

Number of pages: 54 Posted: 14 Mar 2011
Alan Guoming Huang, Sati P. Bandyopadhyay and Tony S. Wirjanto
University of Waterloo, University of Waterloo and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 35
Citation 1

Abstract:

Income Smoothing, Pre-Managed Earnings-Discretionary Accruals correlation, Accrual Volatility, Return, Value, Information Signaling

Submit a Paper Section 508 Text Only Pages

Quick Links

Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up

Rankings

Top Papers Top Authors Top Organizations

About

SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs
Elsevier logo
Copyright Terms and Conditions Privacy Policy

Cookies are used by this site. To decline or learn more, visit our Cookies page. This page was processed by apollobot1 in 2.070 seconds

Relx Group logo