Tony S. Wirjanto

University of Waterloo, Department of Statistics & Actuarial Science

Professor

200 University Avenue West

Waterloo, Ontario N2L 3G1

Canada

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

University of Waterloo - School of Accounting and Finance

Professor

200 University Avenue West

Waterloo, Ontario N2L 3G1

Canada

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

  • University of Waterloo, Department of Statistics & Actuarial Science

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    • Tel: 519-888-4567 x35210
    • Fax: 519-746-1875

  • University of Waterloo - School of Accounting and Finance

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    • Tel: 519-888-4567 x35210
SCHOLARLY PAPERS

79

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4,930

TOTAL CITATIONS
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Top 22,710

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58

Scholarly Papers (79)

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1.

Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization

Number of pages: 56 Posted: 16 Nov 2017 Last Revised: 31 Oct 2018
Danqiao Guo, Phelim P. Boyle, Chengguo Weng and Tony S. Wirjanto
University of Waterloo, Wilfrid Laurier University - School of Business & Economics, University of Waterloo and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 1,095 (43,165)
Citation 2

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Portfolio optimization, Estimation error, Approximation error, Spectral cut-off method, Spectral selection method

2.

When Does the 1/N Rule Work?

Number of pages: 27 Posted: 05 Feb 2018 Last Revised: 28 Oct 2019
Danqiao Guo, Phelim P. Boyle, Chengguo Weng and Tony S. Wirjanto
University of Waterloo, Wilfrid Laurier University - School of Business & Economics, University of Waterloo and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 675 (82,974)
Citation 1

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1/N rule, favorability index, bull and bear markets, regime-switching model

3.

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
Southern Methodist University (SMU) - Finance Department, Independent and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 487 (124,967)

Abstract:

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Liquidity risk, systematic risk factor

4.

Age Matters

Number of pages: 44 Posted: 29 May 2019
Danqiao Guo, Phelim P. Boyle, Chengguo Weng and Tony S. Wirjanto
University of Waterloo, Wilfrid Laurier University - School of Business & Economics, University of Waterloo and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 466 (131,704)
Citation 1

Abstract:

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Bootstrapped portfolio, rebalanced portfolio, age effect, size effect

5.

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, University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School, McGill University - Desautels Faculty of Management and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 364 (174,799)
Citation 45

Abstract:

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

6.

Sample Eigenvalues Adjustment for Portfolio Performance Improvement under Factor Models

Number of pages: 32 Posted: 28 Apr 2017 Last Revised: 31 Oct 2018
Danqiao Guo, Chengguo Weng and Tony S. Wirjanto
University of Waterloo, University of Waterloo and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 223 (290,469)

Abstract:

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

7.

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 University of Waterloo, Department of Statistics & Actuarial Science
Downloads 216 (299,505)
Citation 1

Abstract:

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Accruals quality, Stock returns, Return premium, Information uncertainty

8.

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
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 195 (329,554)

Abstract:

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

9.

Winning Probability Weighted Combined Portfolio

Number of pages: 30 Posted: 17 Nov 2023
Zhenzhen Huang, Pengyu Wei, Chengguo Weng and Tony S. Wirjanto
University of Waterloo, Nanyang Technological University (NTU), University of Waterloo and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 182 (351,152)

Abstract:

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Portfolio optimization, estimation risk, winning probability, predictive models, out-of-sample performance

10.

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
University of Waterloo, Department of Statistics & Actuarial Science and University of Waterloo
Downloads 173 (367,207)
Citation 2

Abstract:

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

11.

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

Lim, J.-H., Stratopoulos, T. C., & Wirjanto, T. S. (2013). Sustainability of a Firm’s Reputation for Information Technology Capability: The Role of Senior IT Executives. Journal of Management Information Systems, 30(1), 57–96.
Number of pages: 46 Posted: 11 Feb 2013 Last Revised: 06 Apr 2021
Jee-Hae Lim, Theophanis C. Stratopoulos and Tony S. Wirjanto
University of Hawaii, Manoa, University of Waterloo - School of Accounting and Finance and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 155 (403,741)
Citation 3

Abstract:

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

12.

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 Hawaii, Manoa, University of Waterloo - School of Accounting and Finance and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 152 (410,352)

Abstract:

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

13.

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 Hawaii, Manoa, University of Waterloo - School of Accounting and Finance and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 141 (435,914)

Abstract:

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

14.

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 Hawaii, Manoa, University of Waterloo - School of Accounting and Finance and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 136 (448,662)

Abstract:

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

15.

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 University of Waterloo, Department of Statistics & Actuarial Science
Downloads 76 (669,664)

Abstract:

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Markov-chain, diffusion, volatility, density

16.

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 University of Waterloo, Department of Statistics & Actuarial Science
Downloads 60 (758,899)

Abstract:

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

17.

The Impact of Stochastic Convenience Yield on Long-Term Forestry Investment Decisions

Number of pages: 57 Posted: 24 Jun 2018
Shan Chen, Margaret C. Insley and Tony S. Wirjanto
University of Waterloo - Department of Economics, University of Waterloo - Department of Economics and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 56 (785,123)
Citation 2

Abstract:

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optimal tree harvesting, forestry, stochastic convenience yield

18.

Harnessing Contrastive Learning and Neural Transformation for Time Series Anomaly Detection

Number of pages: 36 Posted: 13 Mar 2024
Jiazhen Chen, Mingbin Feng and Tony S. Wirjanto
University of Waterloo, University of Waterloo and University of Waterloo, Department of Statistics & Actuarial Science
Downloads 40 (912,831)
Citation 1

Abstract:

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Time Series, Anomaly detection, neural networks

19.

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 University of Waterloo, Department of Statistics & Actuarial Science
Downloads 38 (931,634)

Abstract:

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

20.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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stationary process; path property; time series

21.

Performance Measurement and the Prediction of Corporate Bankruptcy

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

Abstract:

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Bankruptcy prediction; Financial failure; Performance measurement; Logit models

22.

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

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

Abstract:

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

23.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

24.

Threshold Stochastic Conditional Duration Model for Transaction Data

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

Abstract:

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

25.

Bayesian Inference of Multiscale Stochastic Conditional Duration Models

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

Abstract:

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

26.

Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects

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

Abstract:

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

27.

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

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

Abstract:

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

28.

Discrete-Time Portfolio Optimization with Transaction Costs

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

Abstract:

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

29.

Pricing Financial Derivatives by Gram-Charlier Expansions

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

Abstract:

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

30.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

31.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

32.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

33.

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

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

Abstract:

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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

34.

Computation of Portfolio VaRs with GARCH-Type Volatility

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

Abstract:

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

35.

Time-Deformation Modeling of Stock Returns Directed by Duration Processes

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

Abstract:

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

36.

Empirical Indicators of Currency Crises in East Asia

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

Abstract:

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37.

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
University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

38.

On the Efficiency of Conditional Heteroskedasticity Models

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

Abstract:

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

39.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

40.

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
University of Waterloo and University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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youth smoking participation and initiation, cigarette taxes

41.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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Migration, Optimal stopping time, Risk aversion, Uncertainty

42.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

43.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

44.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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Tax incidence, Business taxation

45.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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46.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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47.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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Permanent income, Consumption, US states

48.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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49.

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
Independent and University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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50.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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Consumption, Permanent Income, West Germany

51.

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
University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

52.

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
University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

53.

Aggregate Consumption Behaviour with Time-Nonseparable Preferences and Liquidity Constraints

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

Abstract:

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

54.

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
University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

55.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

56.

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

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

Abstract:

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

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 Kolkiewicz
Independent, University of Waterloo, Department of Statistics & Actuarial Science and Independent

Abstract:

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Threshold, MCMC, Auxiliary particle filter, Deviance information criterion

58.

Stochastic Conditional Duration Models with Mixture Processes

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

Abstract:

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

59.

Bayesian Analysis of a Threshold Stochastic Volatility Model

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

Abstract:

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

60.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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Conterparty Credit Risk, Wrong-way Risk, Mass Transportation

61.

Bayesian Inference of Asymmetric Stochastic Conditional Duration Models

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

Abstract:

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

62.

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
University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

63.

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 Ghosh and Tony S. Wirjanto
Independent and University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

64.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

65.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

66.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

67.

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 University of Waterloo, Department of Statistics & Actuarial Science

Abstract:

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

68.

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
University of Waterloo, Department of Statistics & Actuarial Science and Bank of Canada & CREFE

Abstract:

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

69.

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

Abstract:

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

70.

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

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

71.

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 University of Waterloo, Department of Statistics & Actuarial Science

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

72.

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 University of Waterloo, Department of Statistics & Actuarial Science

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

73.

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 University of Waterloo, Department of Statistics & Actuarial Science

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

74.

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
Independent and University of Waterloo, Department of Statistics & Actuarial Science

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75.

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 University of Waterloo, Department of Statistics & Actuarial Science

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permanent income, cointegration, government expenditure, consumption

76.

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 University of Waterloo, Department of Statistics & Actuarial Science

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77.

Re-Examining Variance-Bounds Tests for Asset Prices

Posted: 29 May 1998
Robert A. Amano and Tony S. Wirjanto
Bank of Canada & CREFE and University of Waterloo, Department of Statistics & Actuarial Science

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78.

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 University of Waterloo, Department of Statistics & Actuarial Science

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79.

APPLICATIONS OF LÉVY SEMI-STATIONARY PROCESSES TO A STORABLE COMMODITY*

Number of pages: 54
Tony S. Wirjanto
University of Waterloo, Department of Statistics & Actuarial Science
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Volatility Modulated Lévy-driven Volterra, Lévy semi-stationary, Storable Commodity, Spot Prices, Unscented Kalman Filter

Other Papers (3)

Total Downloads: 1,097
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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, University of Waterloo, Department of Statistics & Actuarial Science and University of Waterloo
Downloads 733

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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
University of Waterloo, Department of Statistics & Actuarial Science, University of Waterloo and University of Waterloo
Downloads 217

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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 University of Waterloo, Department of Statistics & Actuarial Science
Downloads 147

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