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Tony Wirjanto

Tony Wirjanto Professor

Associate  Director, Waterloo Research Institute in Insurance,
Securities and Quantitative Finance (WatRISQ)
University Research Chair
Department of Statistics and Actuarial Science
University of Waterloo
Waterloo, Ontario
CANADA N2L 3G1

(519) 888-4567, ext. 35210
Fax: (519) 746-1875

E mail:
Office: M3 3013
Personal Website:http://www.math.uwaterloo.ca/~twirjant/
WatRISQ Website: www.watrisq.uwaterloo.ca

Research and Scholarly Interests

Professor Wirjanto's research interests focus on developing statistical methodology for applications in the finance area.  His work has centered on the modeling of volatility fluctuations in financial returns with applications to asset and derivatives pricing, portfolio selection, and the term structure of interest rates. His current work explores the use of finite mixtures of distributions as well as ultra high-frequency data for volatility forecasting, portfolio choice and financial risk management.

Recent Publications

  • Bae, K. H. A. Ozoguz, H. P. Tan and T. S. Wirjanto  (2012). Do Foreigners Facilitate Information Transmission in Emerging Markets? To appear in Journal of Financial Economics
  • Lim, J.H., T. Stratopoulos and T. S, Wirjanto (2012). Role of IT Executives on the Firm's Ability to Achieve Competitive Advantage through IT Capability. International Journal of Accounting Information Systems. To appear in March, Vol. 13, Issue 1.
  • Packalen, M. and T. S. Wirjanto (2012). Inference about Clustering and Parametric Assumptions in Covariance Matrix Estimation. To appear in Computational Statistics & Data Analysis.
  • Lim, J.H., T. Stratopoulos  and T. S. Wirjanto (2011). Path Dependence of Dynamic Information Technology Capability: An Empirical Investigation. Journal of Management Information Systems, 28 (3): 45-84.
  •  Xu, D.,  J. Knight and T. S. Wirjanto (2011). Asymmetric Stochastic Conditional Duration Model: A Mixture-of-Normal Approach, Journal of Financial Econometrics, 9(3), 469–488. (more)

Biography

Professor Wirjanto is an Econometrician by training receiving his PD degree from Queen’s University at Kingston.



Last Modified:  Tuesday 31 January 2012
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