Tony S. Wirjanto

Professor and University Research Chair

Research


Research Field

I am an econometrician by training with research primarily focusing on financial econometrics and financial time series. My most recent work explores the applications of finite mixtures of distributions and ultra high frequency data in volatility modeling and forecasting, portfolio choice, term structures and financial risk management.


Research Grants/Awards

2011: Society of Actuaries (SOA) (with Carole Bernard, Phelim Boyle, Mary Hardy, Joseph Kim, Adam Kolkiewicz, Johnny Li, David Saunders, and Ken Seng Tan): Integrated Risk Management: With Applications to Insurance Companies and Other Financial Institutions $100,000.
2011: SSHRC (as a PI with Alan G Huang): Examining the Effects of Increased Volatility Uncertainty of Firms, $64,690.
2011: SSHRC (as a CI with Hong Ping Tan (PI) and Pat O'Brien): Determinants of Financial Analyst Following and Its Value Indications, $87,062.
2008: SSHRC (as a CI with Ranjini Jha (PI), Alan G Huang and Sati Bandyopadhyay): Earnings Quality - A Cross Country and Market Comparison of Chinese and Indian Firms,$66,000.
2008: SSHRC (as a CI with Theophanis C. Stratopoulos (PI), and Lim Jee-Hae): Information Technology Innovation: Persistence, Antecedents and Performance Implications, $167,958.


Selected Forthcoming and Recently Published Papers

  • Bae, K. H., A. Ozoguz, H. P. Tan and T. S. Wirjanto (2012). Do Foreigners Facilitate Information Transmission in Emerging Markets?. To appear in The Journal of Financial Economics.
  • T. S. Wirjanto and A. G. Huang (2012). Is China’s P/E Ratio Too Low? Examining the Role of Earnings Volatility. To appear in Pacific-Basin Finance Journal.
  • Lim, J. H., T. C. Stratopoulos and T. S. Wirjanto (2012). Role of IT Executives on the Firm's Ability to Achieve Competitive Advantage through IT Capability. To appear in International Journal of Accounting Information Systems, March, Vol. 13, Issue 1. It also won the Best Paper Award at the 8th International Conference on Enterprise Systems, Accounting and Logistics (ICESAL), Thassos, Greece, July 10-12, 2011.
  • Packalen, M. and T. S. Wirjanto (2012). Inference About Clustering and Parametric Assumptions in Covariance Matrix Estimation To appear in Computational Statistics and Data Analysis.
  • Lim, J. H., T. C. Stratopoulos and T. S. Wirjanto (2012). Path Dependence of Dynamic Information Technology Capability: An Empirical Investigation. Journal of Management Information Systems, 28(3), 45-84.
  • Huang, A. G., Y. Tian, and T. S. Wirjanto (2012). Re-examining Accounting Conservatism: The Importance of Adjusting for Firm Heterogeneity. To appear in Advances in Quantitative Analysis of Finance and Accounting. Edited by C. F. Lee.
  • Xu, D., J. Knight and S. Wirjanto (2011). Asymmetric Stochastic Conditional Duration Model - A Mixture-of-Normals Approach. Journal of Financial Econometrics, 9(3), 469–488.
  • Xu, D. and T. S. Wirjanto (2010). An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility, Journal of Derivatives, 18, No. 1, 39-58.
  • Sen, A. and T. S. Wirjanto (2010). Estimating the Impacts of Taxes on the Initiation and Persistence of Youth Smoking: Empirical Evidence from Ontario, Canada, Health Economics, 19, 1264–1280.
  • DeJuan, J. P., J. J. Seater, and T. S. Wirjanto (2010). Testing the Stochastic Implications of Permanent Income Hypothesis Using Canadian Provincial Data. Oxford Bulletin of Economics and Statistics, 72, 89-108.
  • Insley, M. C. and T. S. Wirjanto (2010). Contrasting Two Approaches in Real Options Valuation: Contingent Claims versus Dynamic Pogramming. Journal of Forest Economics, 16, 157-176.
  • Zhang, F., Y. Y. Tian and T. S. Wirjanto (2009). Empirical Tests of the Float Adjusted Return Model. Finance Research Letters, 6, 219-229.
  • Ning, C. and T. S. Wirjanto (2009). Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach. Finance Research Letters, 6, 202-209.
  • Qian, Y. Y. Tian and T. S. Wirjanto (2009). Do Publicly Listed Chinese Companies Adjust their Capital Structure toward a Target Level? The China Economic Review, 20, 662–676.
  • Ning, C., Xu, D. and T. S. Wirjanto (2008). Modelling the Leverage Effect with Copulas and Realized Volatility. Finance Research Letters, 5, 221-227,
  • Shamin, A. and T. S. Wirjanto (2008). The Impact of Sales Taxation on Internet Commerce -- An empirical Analysis. Economics letters, 99, 557-560.
  • Choi,Y. and T. S. Wirjanto (2007). An Analytic Approximation Formula for Pricing Zero-Coupon Bonds. Finance Research Letters, 4(2), 116-126.
  • Wang, T. and T. S. Wirjanto (2004). The Role of Risk and Risk Aversion in an Individual's Migration Decision. Stochastic Models, 20(2), 129-147.
  • Other Publications.


Working Papers

  • Bandyopadhyay, S., A. G. Huang, and T. S. Wirjanto (2012). The Return Premiums to Accrual Quality Submitted.
  • Bandyopadhyay, S., A. G. Huang, and T. S. Wirjanto (2012). Income Smoothing, Information Asymmetry, and Returns.
  • Ning,C., D. Xu, and T. S. Wirjanto (2012). Modeling Asymmetric Volatility Clusters using Copulas and High Frequency Data.
  • Feng, D., Peter X. K. Song and T. S. Wirjanto (2011). Time-Deformation Modeling Of Stock Returns Directed By Duration Processes. Revised and resubmitted.
  • Choi, Y. and T. S. Wirjanto (2011). A Simple Model of the Nominal Term Structure of Interest Rates. Under a revise and resubmit status.
  • Xu, D. and T. S. Wirjanto (2011). A Tractable Computation of Portfolio VaRs with GARCH Models Using Independent Component Analysis. .
  • Wirjanto, T. S. and D. Xu (2011). The Applications of Mixture of Normal Distributions in Finance: A Selected Survey. .
  • Redekop, J. and T. S. Wirjanto (2010). Exploring a Simple Two-State Markov-Chain Option-Pricing Model. .
  • Wirjanto,T.S. (2010). A Specification Test for Diffusion Processes. Abstract.
  • Chen, S., M. Insley and T. S. Wirjanto (2010). The Impact of Stochastic Convenience Yield on Long-term Forestry Investment Decisions. Abstract
  • Wirjanto, T. S. (2009). A Selected Review of Statistical Tests for Diffusion Processes. Paper.
  • Redekop, J. and T. S. Wirjanto (2009). On the Moment Generating Functions of a Simple Two-State Markov-Chain Option-Pricing Model. Abstract
  • Qian, Y., Y. Tian and T. S. Wirjanto (2009). Capital-Structure Determinants of Publicly Listed Chinese Companies. Abstract.
  • Wirjanto, T. S. (2009). Modeling Financial Analyst Coverage, Part I. Statistical Framework. Abstract.
  • Wang, T. and T. S. Wirjanto (2008). “Wait” Unemployment as a Real-Options Problem. Abstract.
  • Wirjanto, T. S. (2008). Real Options to Invest. Abstract.
  • Wirjanto, T. S. (2008). The Effects of Jumps and Regime Switches on the Value of Waiting to Invest. Abstract.
  • Xu, D. and T. S. Wirjanto (2008). TD-Computational Finance Research Partnership Project on Value at Risk for Stochastic Volatility Model under Bivariate Mixtures of Normal Distribution - Part I: Univariate Modeling. Abstract.
  • Choi, Y. and T. S. Wirjanto (2007). A Simple Option-Pricing Model with Changing Volatility. Abstract .
  • Tian, Y. and T. S. Wirjanto (2007). On Dynamic Models of Accruals: Part I – Theoretical Framework. Abstract.
  • Wirjanto, T. S. (2005). Estimation of Discretely Sampled Diffusion Processes of the Short Rate. Abstract.
  • Wirjanto, T. S. (2005). EMM Estimation of Short-Rate Models. Abstract.
  • Wirjanto, T. S. (2005). Estimation of Short-Rate Models with Daily Observations. Asbtract.
  • Wirjanto, T. S. (2005). Modeling the Dynamics of Spot Prices. Abstract.


Past Research Projects

  • On the Transition from Physical to Risk-Neutral Measures for Options Pricing Valuation (2007-2008), Project Summary.
  • Optimal Asset Allocation under Regime Switching (2007), Project Summary.
  • Capital Structure and Corporate Governance in China (2005-2007, Project Summary.
  • Neural Network Project (2005), Project Summary. Papers:
    [1] Neural Network Models of the Spot Canadian/U.S. Exchange Rate . Paper.
    [2] Jackknife Learning Algorithms for the Neural Network Model of Exchange Rate, . Paper.
    [3] Bootstrapping Neural-Network Models of Exchange Rate, . Paper.
    [4] Local Stability Analysis of Neural Network Models with Application to Exchange Rate. Paper.