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 Tony S. Wirjanto - Professor & University Research Chair

  School of Accounting & Finance
  Faculty of Arts
  University of Waterloo
  Waterloo, Ontario
  Canada N2L 3G1
  Office: HH 383D
  Phone: +1 519-888-4567 ext. 35210
  Fax: +1 519-888-7562
  Email: twirjant <at> uwaterloo <dot> ca

  Dept. of Statistics & Actuarial Science
  Faculty of Mathematics
  University of Waterloo
  Waterloo, Ontario
  Canada N2L 3G1
  Office: MC 6016
  Phone: +1 519-888-4567 ext. 35210
  Fax: +1 519-746-1875
  Email: twirjant <at> uwaterloo <dot> ca

Other Academic Appointments

Editorial Boards

Research Interest

  • Econometrics and Finance

Teaching

  • Courses (Restricted Teaching Materials)
  • Software (Unrestricted Teaching Materials)

Research Grants/Awards

2008

  • SSHRC (with Ranjini Jha, Alan G Huang and Sati Bandyopadhyay): Earnings Quality - A Cross Country and Market Comparison of Chinese and Indian Firms, First-year award is $66,000.
  • SSHRC (with Theophanis C. Stratopoulos, and Lim Jee-Hae): Information Technology Innovation: Persistence, Antecedents and Performance Implications. First-year award is $55,986.

Publications

Selected Forthcoming and Recently Published Papers

  • Zhang, F., Y. Y. Tian and T. S. Wirjanto, Empirical Tests of the Float Adjusted Return Model, Abstract - forthcoming.
  • Ning, C. and T. S. Wirjanto, Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach, Abstract - forthcoming in Finance Research Letters.
  • Qian, Y. Y. Tian and T. S. Wirjanto, Do Publicly Listed Chinese Companies Adjust their Capital Structure toward a Target Level?, Abstract - forthcoming in The China Economic Review
  • Xu, D. and T. S. Wirjanto, An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility, Abstract - conditionally accepted by The Journal of Derivatives
  • Sen, A. and T. S. Wirjanto, Estimating the Impacts of Taxes on the Initiation and Persistence of Youth Smoking: Empirical Evidence from Ontario, Canada, Abstract - forthcoming in Health Economics
  • DeJuan, J. P., J. J. Seater, and T. S. Wirjanto, Testing the Stochastic Implications of Permanent Income Hypothesis Using Canadian Provincial Data, Abstract - forthcoming in Oxford Bulletin of Economics and Statistics
  • Ning, C., Xu, D. and T. S. Wirjanto, Modelling the Leverage Effect with Copulas and Realized Volatility, Finance Research Letters, 2008, 5, 221-227
    • , Abstract
  • Choi, Y. and T. S. Wirjanto, An Analytic Approximation Formula for Pricing Zero-Coupon Bonds, Finance Research Letters, 2007, 4(2), 116-126, Paper
  • Wang, T. and T. S. Wirjanto, The Role of Risk and Risk Aversion in an Individual's Migration Decision, Stochastic Models, 2004, 20(2), 129-147, Paper
  • Other Publications

Working Papers

2009

  • Tony S. Wirjanto, An Empirical-likelihood based Test for Diffusion Processes, October 2009, Abstract .
  • Tony S. Wirjanto, Statistical Tests for Diffusion Processes: A Review, October 2009, Paper .
  • Cathy Ning, Dinghai Xu, and Tony Wirjanto, Modeling Asymmetric Volatility Clusters using Copulas and High Frequency Data, September 2009, Abstract - submitted.
  • Choi, Y. and T. S. Wirjanto, A Tractable Model of the Nominal Term Structure of Interest Ratest, August 2009, Abstract - submitted.
  • Redekop, J. and T. S. Wirjanto, Exploring a Simple Two-State Markov-Chain Option-Pricing Model, August 2009, Abstract.
  • Redekop, J. and T. S. Wirjanto, On the Moment Generating Functions of a Simple Two-State Markov-Chain Option-Pricing Model, August 2009, Abstract.
  • Tony S. Wirjanto and Dinghai Xu, The Applications of Mixture of Normal Distributions in Finance: A Selected Survey, August 2009, Abstract - submitted.
  • Xu, D., J. Knight and T. S. Wirjanto, Asymmetric Stochastic Conditional Duration Model - A Mixture of Normals Approach, August 2009, Abstract - under a revise and resubmit status.
  • Qian, Y., Y. Tian and T. S. Wirjanto, Capital-Structure Determinants of Publicly Listed Chinese Companies, August 2009, Abstract - submitted.
  • Insley, M. C. and T. S. Wirjanto, Contrasting two approaches in real options valuation: contingent claims versus dynamic programming, July 2009, Abstract - under a second-round revision.
  • Alan G. Huang and Tony S. Wirjanto, Is China’s P/E Ratio too Low? Examining the Role of Earnings Volatility, June 2009, Abstract - submitted.
  • Wirjanto, T. S., Modeling Financial Analyst Coverage, Part I. Statistical Framework, June 2009, Abstract
  • Chen, Shan, Margaret Insley and Tony S. Wirjanto, The Impact of Stochastic Convenience Yield on Long-term Forestry Investment Decisions, May 2009, Abstract
  • Bandyopadhyay, Satiprasad, Alan G. Huang, and Tony S. Wirjanto, The Value of Long-Term Accrual Management: Is there an Accrual Volatility Anomaly?, May 2009, Abstract

2008

  • Lim, J. H., T. C. Stratopoulos and T. S.. Wirjanto, IT Innovation Persistence and State Dependence: An Empirical Investigation, December 2008, Abstract - submitted.
  • Feng, D., Peter X. K. Song and T. S. Wirjanto, Time-Deformation Modeling Of Stock Returns Directed By Duration Processes, December 2008, Abstract - submitted.
  • Xu, D. and T. S. Wirjanto, Computation of Portfolio VaRs with GARCH Models Using Independent Component Analysis, September 2008, Abstract.
  • Huang, A., Y. Tian and T. S. Wirjanto, Re-examining Accounting Conservatism: The Importance of Adjusting for Firm Heterogeneity, August 2008, Abstract - submitted.
  • Wang, T. and T. S. Wirjanto, “Wait” Unemployment as a Real-Options Problem, May 2008, Abstract.
  • Wirjanto, T. S., Real Options to Invest, May 2008, Abstract.
  • T. S. Wirjanto, The Effects of Jumps and Regime Switches on the Value of Waiting to Invest, May 2008, Abstract.
  • Huang, A., Y. Tian and T. S. Wirjanto, The Nature of Returns and Earnings Relation: The Importance of Accounting for Firms’ Fixed Effects, May 2008, Abstract.
  • Xu, D. and T. S. Wirjanto, TD-Computational Finance Research Partnership Project on Value at Risk for Stochastic Volatility Model under Bivariate Mixtures of Normal Distribution - Part I: Univariate Modeling, March 2008, Abstract.

2007

  • Choi, Y. and T. S. Wirjanto, A Simple Option-Pricing Model with Changing Volatility, May 2007, Abstract .
  • Tian, Y. and T. S. Wirjanto, On Dynamic Models of Accruals: Part I – Theoretical Framework, March 2007 - Abstract.

2006

  • Wang, T. and T. S. Wirjanto, On the Role of Uncertainty and Risk Aversion on Individual's Investment Decision, August 2006 - Abtract.

2005

  • Wirjanto, T. S., Estimation of Discretely Sampled Diffusion Processes of the Short Rate, August 2005, Abstract .
  • Wirjanto, T. S., EMM Estimation of Short-Rate Models, August 2005, Abstract.
  • Wirjanto, T. S., Estimation of Short-Rate Models with Daily Observations, August 2005, Asbtract.
  • Wirjanto, T. S., Modeling the Dynamics of Spot Prices, August 2005, Abstract.

Project on The Transition from Physical to Risk-Neutral Measures for Options Pricing Valuation (2007-2008)

Project on Optimal Asset Allocation under Regime Switching (2007)

Project on Capital Structure and Corporate Governance in China (2005-2007)

Neural Network Project (2005)

  • Project Description, Summary
  • Neural Network Models of the Spot Canadian/U.S. Exchange Rate, May 2005 - Paper.
  • Jackknife Learning Algorithms for the Neural Network Model of Exchange Rate, May 2005 - Paper.
  • Bootstrapping Neural-Network Models of Exchange Rate, May 2005 - Paper.
  • Local Stability Analysis of Neural Network Models with Application to Exchange Rate, May 2005 - Paper.

Additional Information

This home page is maintained by Tony S. Wirjanto

Last updated: October 18,2009