Tony S. Wirjanto

Professor

Research


Research Field

By training I am an econometrician with research primarily focusing on financial econometrics and financial time series.


Research Grants/Awards

2018-2021: Centers of Actuarial Excellence (CEA) (with Johnny Li (PI), Ben Feng, Adam Kolkiewicz, David Landriault, Bin Li, David Saunders, Ken Seng Tan, Ruodu Wang, Chengguo Weng, Tony Wirjanto, Fan Yang, Laura Middleton and Jason Thistlethwaite) - Maintaining Financial Stability in an Era of Changing Climate and Demographics, $297,000.00.
2017: UW International Research Partnership Grants (IRPG) - Volatility Models and Financial Risk Analysis: an Empirical Study on Shanghai and Shenzhen Stock Markets, $20,000.00 + matched amount by ECUST $20,000.00.
2017: Society of Actuaries (SOA) (with Ken Seng Tan and Mingyu (Bruce) Fang - Managing Climate and Carbon Risk in Investment Portfolios, USD $30,000.00
2015: SSHRC - Return Correlations during Episodes of Systemic Crises in Financial Markets, $140,000.00.
2013-2017: Society of Actuaries (SOA) (with Carole Bernard, Phelim Boyle, Mary Hardy, Chengguo Weng, Adam Kolkiewicz, Johnny Li, David Saunders, and Ken Seng Tan (PI)) - Integrated Risk Management: With Applications to Insurance Companies and Other Financial Institutions, $495,000.
2012-2013: Global Risk Institute in Financial Services (with Sati Bandyopadhyay, Ranjini Jha, Duane Kennedy, and Ken Vetzal (PI))- Low for Long, $92,000.
2012: Robert Harding Humanities and Social Sciences Endowment Award (as a CI with Jee-Hae Lim and Theo Stratopoulos (PI)- Reciprocity between Information Technology Innovative Firms and Senior Executives: A Source of Competitive Advantage, $5,500.00.
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.


Research Profile

Google Scholar Profile. View Here


Selected Forthcoming and Published Papers

  • Men, Z., A. W. Kolkiewicz, and T. S. Wirjanto (2019). Threshold Stochastic Conditional Duration Model for Financial Transaction Data. Journal of Risk and Financial management, Vol. 12, No. 88, http://dx.doi.org/10.3390/jrfm12020088.
  • Melkuev, D., D. Guo and T. S. Wirjanto (2018). Applications of Random-Matrix Theory and Nonparametric Change-Point Analysis to Three Notable Systemic Crises. Quantitative Finance and Economics, Vol. 2, No. 2, 413-467. http://dx.doi.org/10.3934/QFE.2018.2.413.
  • Men, Z., and T. S. Wirjanto (2018). A New Variant of Estimation Approach to Asymmetric Stochastic Volatility Model. Quantitative Finance and Economics, Vol 2, No. 2, 325-347. http://dx.doi.org/10.3934/QFE.2018.2.325.
  • Fang, M., K. S. Tan, and T. S. Wirjanto (2018). Sustainable Portfolio Management under Climate Change. Journal of Sustainable Finance & Investment, September 21, DOI:10.1080/20430795.2018.1522583.
  • Shen, Y., and T. S. Wirjanto (2018). Stationarity as a Path Property. To appear in Probability and Mathematical Statistics.
  • Andrews, D., J. Oberoi, T. S. Wirjanto and C. M. Zhou (2018). Demography and Inflation: An International Study. North American Actuarial Journal, February 13, https://doi.org/10.1080/10920277.2017.1387572.
  • Wirjanto, T. S. and A. Zhu, (2018). Implied Volatility Surfaces During the Period of Global Financial Crisis. International Journal of Financial Engineering, Vol. 05, No. 01, https://doi.org/10.1142/S2424786318500019.
  • Hofert, M., A. Memartoluie, D. Saunders and T. S. Wirjanto (2017). Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm. Statistics & Risk Model, Vol. 34, No. 1-2, 13-31.
  • Memartoluie, A., D. Saunders and T. S. Wirjanto (2017). Wrong-way Risk Bounds in Counterparty Credit Risk ManagementJournal of Risk Management in Financial Institutions, Vol. 10, No. 2, 150-163.
  • Bandyopadhyay, P., A. Huang, S. K. Sun, and T. S. Wirjanto (2017). The Return Premiums to Accrual Quality. Review of Quantitative Finance and Accounting, Vol. 48, Issue 1, 83-115.
  • Men, Z., T. S. Wirjanto, and A. W. Kolkiewicz (2016). Bayesian Inference of Multiscale Stochastic Conditional Duration Models. Annals of Financial Economics,Vol. 11, No. 04, 1650020.
  • Men, Z., D. McLeish, A. W. Kolkiewicz, and T. S. Wirjanto (2016). Comparison of Asymmetric Stochastic Volatility Models under Different Correlation Structures. Journal of Applied Statistics, Vol. 44, Issue 8, 1350-1368.
  • DeJuan, J. P., T. S. Wirjanto, and X. Xu (2016). The Adjustment of Consumption to Income Changes across Chinese Provinces. Annals of Economics and Finance, Vol. 17, No. 2, 235-253.
  • Men, Z., A. W. Kolkiewicz and T. S. Wirjanto (2016). Bayesian Analysis of Threshold Stochastic Volatility Models. Journal of Forecasting, Vol. 35, 462-476.
  • Men, Z., T. S. Wirjanto, and A. W. Kolkiewicz (2016). Sampling-based Inference of Time Deformation Models with Heavy Tail Distributions. Communications in Statistics - Simulation and Computation, Vol. 45, 3128-3148.
  • Wang, T. and T. S. Wirjanto (2016). Risk Aversion, Uncertainty, Unemployment Insurance Benefit and Duration of "Wait" Unemployment. Annals of Economics and Finance, Vol. 17, No. 1, 1-34.
  • Men, Z., A. W. Kolkiewicz and T. S. Wirjanto (2016). Bayesian Inference of Asymmetric Stochastic Conditional Duration Models.Journal of Statistical Computation and Simulation, Vol. 86, No.7, 1295-1319.
  • Ning, C., D. Xu, and T. S. Wirjanto (2015). Is Volatility Clustering of Asset Returns Asymmetric? Journal of Banking and Finance, Vol. 52, 62-76.
  • Men, Z., A. W. Kolkiewicz, and T. S. Wirjanto (2015). Bayesian Analysis of Asymmetric Stochastic Conditional Duration Model. Journal of Forecasting, Vol. 34, No. 1, 36-56.
  • Zhang, M., A. W. Kolkiewicz, T. S. Wirjanto and X. Li (2015). The Impacts of Financial Crisis on Sovereign Credit Risk in Asia and Europe. International Journal of Financial Engineering, Vol. 2, No. 3, 57 pages.
  • Feng, D., Peter X. K. Song and T. S. Wirjanto (2015). Time-Deformation Modeling of Stock Returns Directed by Duration Processes. Econometric Reviews, Vol. 34, No. 4, 480-511.


Selected Completed Working Papers

  • Rice, G., T. Wirjanto and Y. Zhao (2019). Forecasting value at Risk via Intra-Day Return Curves. R&R.
  • Guo, D., Boyle, P., C. Weng, and T. S. Wirjanto (2019). When Does The 1/N Rule Work? R &R.
  • Rice, G., T. Wirjanto and Y. Zhao (2019). Tests for Conditional Heteroscedasticity with Functional Data and Goodness-of-fit Tests for FGARCH Models. Submitted.
  • Guo, D., Boyle, P., C. Weng, and T. S. Wirjanto (2019). Age Matters. Submitted.
  • Cheng, Y-H. (Michael), Y. Shen and T. S. Wirjanto (2019). Pricing European Call Options with Gram-Charlier Expansions. Submitted
  • Men, Z., A. W. Kolkiewicz, and T. S. Wirjanto (2019). Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects. Submitted.
  • Guo, D., C. Weng, and T. S. Wirjanto (2019). Sample Eigenvalues Adjustment for Portfolio Performance Improvement under Factor Models. Submitted.
  • Guo, D., Boyle, P., C. Weng, and T. S. Wirjanto (2019). Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization.
  • Niu, S., and T. S. Wirjanto (2019). Implications of Electricity Price Regimes on Hydroelectric Power Plant Valuation.
  • Wang, D., G. Chu, T. S. Wirjanto, and D. Xu (2019). Modelling Asset Returns in the Presence of Price Limits: Evidence from Chinese Stock Markets.
  • Wang, Q. and T. S. Wrjanto (2019). Social Networks, Asset Allocation, and Portfolio Diversification.
  • Wang, Q. and T. S. Wrjanto (2019). Technical Appendix to Social Networks, Asset Allocation, and Portfolio Diversification.
  • Ng, W. M. and T. S. Wirjanto (2019). Bias of the Mean-Reversion Parameter in the Fractional Ornstein-Uhlenbeck Process.
  • Chan, P. L. (Danny) and T. S. Wirjanto (2019). Pricing Asian Options under the Black-Scholes Model by Fitting of Moments.
  • Chan, P. L. (Danny) and T. S. Wirjanto (2019). Pricing Asian Options under Heston's Stochastic Volatility Model by Moment Fitting.
  • Mao, Z. and T. S. Wirjanto (2019). Fast Swaption Valuation Methods of Affine Term Structure Models.
  • Luo, T. and T. S. Wirjanto (2019). Heston Model in a Low and Negative Interest-Rate Environment.
  • Wang, Y. and T. S. Wirjanto (2019). SABR Surface Construction and Comparison Beyond Feller Condition.
  • Yang, Y. and T. S. Wirjanto (2019). Portfolio Optimization with CVaR Objective and Constraints.
  • Zhang, K. and T. S. Wirjanto (2019). A Non-Parametric Approach to Constructing Implied Volatility Surface.
  • Cheng, Y. H. (Michael) and T. S. Wirjanto (2019). Pricing Swaptions with Gram-Charlier Expansions: A Review.
  • Sun, M., F. Tao, and T. S. Wirjanto (2019). Discrete-time Portfolio Optimization with Transaction Costs for CRRA Investors.
  • Men, Z., T. S. Wirjanto, and, A. W. Kolkiewicz (2019). Threshold Model for Financial Duration Data.
  • Choi, Y, and T. S. Wirjanto (2019). A Simple Model of the Nominal Term Structure of Interest Rates.
  • Redekop, J. and T. S. Wirjanto (2019). Exploring a Two-State Markov-Switching Model for Option Pricing.
  • Wirjanto, T. S., Z. Men, and A. W. Kolkiewicz (2019). Stochastic Conditional Duration Models with Mixture Processes.
  • Guo, D., C. Weng, and T. S. Wirjanto (2018). Improved Global Minimum Variance Portfolio via Tail Eigenvalues Amplification.
  • Lim, J. H., T. C. Stratopoulos and T. S. Wirjanto (2018). IT Reputation Building and Market Valuation.
  • Wirjanto, T. S. and G. Zhang, (2018). A Framework for Stress Testing using Infinite Server Queueing Theory.
  • Fang, M., K. S. Tan and T. S. Wirjanto (2018). Valuation of Carbon Emission Allowances and Related Derivatives under a Closed Trading Phase.