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Publications

by members of

University of Waterloo → School of Accounting and Finance

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2013

  1. Yin-Hei (Michael) Cheng & Tony S. Wirjanto, 2013, "Pricing Financial Derivatives by Gram-Charlier Expansions," Working Paper series, Rimini Centre for Economic Analysis, number 61_13, Dec.
  2. Tony S. Wirjanto & Adam W. Kolkiewicz & Zhongxian Men, 2013, "Stochastic Conditional Duration Models with Mixture Processes," Working Paper series, Rimini Centre for Economic Analysis, number 29_13, May.
  3. Min Zhang & Adam W. Kolkiewicz & Tony S. Wirjanto & Xindan Li, 2013, "The Impacts of Financial Crisis on Sovereign Credit Risk Analysis in Asia and Europe," Working Paper series, Rimini Centre for Economic Analysis, number 62_13, Dec.
  4. Zhongxian Men & Adam W. Kolkiewicz & Tony S. Wirjanto, 2013, "Bayesian Inference of Asymmetric Stochastic Conditional Duration Models," Working Paper series, Rimini Centre for Economic Analysis, number 28_13, May.
  5. Tan Wang & Tony S. Wirjanto, 2013, "Uncertainty, Unemployment Insurance, Individual's Optimal Stopping Time and Duration of Unemployment," Working Paper series, Rimini Centre for Economic Analysis, number 31_13, May.
  6. Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2013, "Bayesian Inference of Multiscale Stochastic Conditional Duration Models," Working Paper series, Rimini Centre for Economic Analysis, number 63_13, Dec.
  7. Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2013, "A Threshold Stochastic Conditional Duration Model for Financial Transaction Data," Working Paper series, Rimini Centre for Economic Analysis, number 30_13, May.

2011

  1. Shan Chen & Margaret Insley & Tony Wirjanto, 2011, "The Impact of Stochastic Convenience Yield on Long-term Forestry Investment Decisions," Working Papers, University of Waterloo, Department of Economics, number 1101, Jan, revised Jan 2011.

2010

  1. Cathy Ning & Dinghai Xu & Tony Wirjanto, 2010, "Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data," Working Papers, University of Waterloo, Department of Economics, number 1001, Jan, revised Jan 2010.
  2. Mikko Packalen & Tony Wirjanto, 2010, "Inference about Clustering and Parametric Assumptions in Covariance Matrix Estimation," Working Papers, University of Waterloo, Department of Economics, number 1012, Nov, revised Nov 2010.

2008

  1. Cathy Ning & Tony S. Wirjanto, 2008, "Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach," Working Papers, University of Waterloo, Department of Economics, number 08009, Dec.
  2. Margaret Insley & Tony Wirjanto, 2008, "Contrasting two approaches in real options valuation: contingent claims versus dynamic programming," Working Papers, University of Waterloo, Department of Economics, number 08002, Aug.
  3. Dinghai Xu & Tony S. Wirjanto, 2008, "An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility," Working Papers, University of Waterloo, Department of Economics, number 08008, Dec.
  4. Dinghai Xu & John Knight & Tony S. Wirjanto, 2008, "Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"," Working Papers, University of Waterloo, Department of Economics, number 08007, Dec.
  5. Yougsoo Choi & Tony S. Wirjanto, 2008, "A Simple Model of the Nominal Term Structure of Interest Rates," Working Papers, University of Waterloo, Department of Economics, number 08011, Dec.
  6. Dingan Feng & Peter X.-K. Song & Tony S. Wirjanto, 2008, "Time-Deformation Modeling Of Stock Returns Directed By Duration Processes," Working Papers, University of Waterloo, Department of Economics, number 08010, Dec.
  7. Alan Huang & Yao Tian & Tony S. Wirjanto, 2008, "Re-examining Accounting Conservatism: The Importance of Adjusting for Firm Heterogeneity," Working Papers, University of Waterloo, Department of Economics, number 08013, Dec.
  8. Jee Hae Lim & Theophanis C. Stratopoulos & Tony S. Wirjanto, 2008, "IT Innovation Persistence and State Dependence: An Empirical Investigation," Working Papers, University of Waterloo, Department of Economics, number 08014, Dec.

2004

  1. Kevin T. Reilly & Tony S. Wirjanto, 2004, "The Proportion of Females in the Establishment: Discrimination, Preferences and Technology," Labor and Demography, University Library of Munich, Germany, number 0407002, Jul.

2003

  1. Joseph DeJuan & John Seater & Tony Wirjanto, 2003, "A Direct Test of the Permanent Income Hypothesis with an Application to the US States," Working Papers, University of Waterloo, Department of Economics, number 03001, Jan, revised Jan 2003.

1999

  1. Robert A. Amano & Wai-Ming Ho & Tony S. Wirjanto, 1999, "Intraperiod and Intertemporal Substitution in Import Demand," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 84, Aug.
  2. Peter Kim & Lingxue Pan & Tony Wirjanto, 1999, "Bootstrapping and Jackknifing Neural Networks for Noisy Financial Time Series," Working Papers, University of Waterloo, Department of Economics, number 99003, Apr, revised Apr 1999.

1998

  1. Reilly, K.T. & Wirjanto, T.S., 1998, "Does More Mean Less? The Male/Female Wage Gap and the Proportion of Female at the Establishment Level," Papers, Centre for Labour Market and Social Research, Danmark-, number 98-04.

1997

  1. Robert A. Amano & Tony Wirjanto, 1997, "Government Expenditures and the Permanent-Income Model," Working Papers, University of Waterloo, Department of Economics, number 98002, Nov, revised Nov 1997.
  2. Tan Wang & Tony Wirjanto, 1997, "The Role of Risk Aversion and Uncertainty in Individual's Migration Decision," Working Papers, University of Waterloo, Department of Economics, number 98003, Nov, revised Nov 1997.
  3. Tan Wang & Tony Wirjanto, 1997, "On the Existence and Duration "Wait" Migration in a Generalized Model," Working Papers, University of Waterloo, Department of Economics, number 98004, Nov, revised Nov 1997.

1995

  1. Robert A. Amano & Tony S. Wirjanto, 1995, "An Empirical Investigation into Government Spending and Private Sector Behaviour," Macroeconomics, University Library of Munich, Germany, number 9502005, Feb.
  2. Amano, R. & Wirjanto, T.S., 1995, "Intertemporal Substitution, Imports and Permanent-Income," Working Papers, University of Waterloo, Department of Economics, number 9508.

1994

  1. Robert A. Amano & Tony S. Wirjanto, 1994, "The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation," Econometrics, University Library of Munich, Germany, number 9406002, Jun.
  2. Robert A. Amano & Tony S. Wirjanto, 1994, "A Further Analysis of Exchange Rate Targeting in Canada," Econometrics, University Library of Munich, Germany, number 9406001, Jun, revised 22 Jun 1994.

1993

  1. Wirjanto, T.S., 1993, "On Non-Stationary Linear Regressions Model with a Lagged Dependent Variable," Working Papers, University of Waterloo, Department of Economics, number 9317.
  2. Wirjanto, T.S. & Amano, R.A., 1993, "Money Stock Targetting and Money Supply: A Closer Examination of the Data," Working Papers, University of Waterloo, Department of Economics, number 9318.
  3. Wirjanto, T.S., 1993, "The GMM Estimation of Conditional Heteroskedasticity Models," Working Papers, University of Waterloo, Department of Economics, number 9319.
  4. Wirjanto, T.S., 1993, "Aggregate Consumption Behavior and Liquidity Constraints: The Canadian Evidence," Working Papers, University of Waterloo, Department of Economics, number 9315.
  5. Wirjanto, T.S., 1993, "The Consequences of Specification errors for Sample- selection Model," Working Papers, University of Waterloo, Department of Economics, number 9312.
  6. Wirjanto, T.S. & Amano, R.A., 1993, "The Dynamic Demand for Money in Germany, Japan and the United Kingdom," Working Papers, University of Waterloo, Department of Economics, number 9314.
  7. Wirjanto, T.S., 1993, "A Unified Framework for Estimation od a Sur Model in Accounting Information," Working Papers, University of Waterloo, Department of Economics, number 9313.

1989

  1. Glenn Otto & Tony S. Wirjanto, 1989, "National Savings and Domestic Investment in the Long Run: Some Time Series Evidence for the U.S. and Canada," Working Paper, Economics Department, Queen's University, number 754.
  2. Tony S. Wirjanto, 1989, "Testing the Permanent Income Hypothesis: The Evidence from Canadian Data," Working Paper, Economics Department, Queen's University, number 755.

Journal articles

2021

  1. Brisley, Neil & Cai, Jay & Nguyen, Tu, 2021, "Required CEO stock ownership: Consequences for risk-taking and compensation," Journal of Corporate Finance, Elsevier, volume 66, issue C, DOI: 10.1016/j.jcorpfin.2020.101850.

2012

  1. Packalen, Mikko & Wirjanto, Tony S., 2012, "Inference about clustering and parametric assumptions in covariance matrix estimation," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 1, pages 1-14, January.
  2. Bae, Kee-Hong & Ozoguz, Arzu & Tan, Hongping & Wirjanto, Tony S., 2012, "Do foreigners facilitate information transmission in emerging markets?," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 209-227, DOI: 10.1016/j.jfineco.2012.01.001.

2011

  1. Brisley, Neil & Bris, Arturo & Cabolis, Christos, 2011, "A theory of optimal expropriation, mergers and industry competition," Journal of Banking & Finance, Elsevier, volume 35, issue 4, pages 955-965, April.
  2. Dinghai Xu & John Knight & Tony S. Wirjanto, 2011, "Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 3, pages 469-488, Summer.

2010

  1. Joseph P. Dejuan & John J. Seater & Tony S. Wirjanto, 2010, "Testing the Stochastic Implications of the Permanent Income Hypothesis Using Canadian Provincial Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 72, issue 1, pages 89-108, February, DOI: 10.1111/j.1468-0084.2009.00565.x.
  2. Insley, M.C. & Wirjanto, T.S., 2010, "Contrasting two approaches in real options valuation: Contingent claims versus dynamic programming," Journal of Forest Economics, Elsevier, volume 16, issue 2, pages 157-176, April.
  3. Anindya Sen & Tony Wirjanto, 2010, "Estimating the impacts of cigarette taxes on youth smoking participation, initiation, and persistence: empirical evidence from Canada," Health Economics, John Wiley & Sons, Ltd., volume 19, issue 11, pages 1264-1280, November, DOI: 10.1002/hec.1548.

2009

  1. Chris Anderson & Neil Brisley, 2009, "Employee Stock Options: An Up-and-Out Protected Barrier Call," Applied Mathematical Finance, Taylor & Francis Journals, volume 16, issue 4, pages 347-352, DOI: 10.1080/13504860902753251.
  2. Qian, Yanmin & Tian, Yao & Wirjanto, Tony S., 2009, "Do Chinese publicly listed companies adjust their capital structure toward a target level?," China Economic Review, Elsevier, volume 20, issue 4, pages 662-676, December.
  3. Ning, Cathy & Wirjanto, Tony S., 2009, "Extreme return-volume dependence in East-Asian stock markets: A copula approach," Finance Research Letters, Elsevier, volume 6, issue 4, pages 202-209, December.
  4. Zhang, Feng & Tian, Yao & Wirjanto, Tony S., 2009, "Empirical tests of the float-adjusted return model," Finance Research Letters, Elsevier, volume 6, issue 4, pages 219-229, December.

2008

  1. Bris, Arturo & Brisley, Neil & Cabolis, Christos, 2008, "Adopting better corporate governance: Evidence from cross-border mergers," Journal of Corporate Finance, Elsevier, volume 14, issue 3, pages 224-240, June.
  2. Ning, Cathy & Xu, Dinghai & Wirjanto, Tony S., 2008, "Modeling the leverage effect with copulas and realized volatility," Finance Research Letters, Elsevier, volume 5, issue 4, pages 221-227, December.
  3. Ahmed, Shamim & Wirjanto, Tony S., 2008, "The impact of sales taxation on internet commerce -- An empirical analysis," Economics Letters, Elsevier, volume 99, issue 3, pages 557-560, June.

2007

  1. Neil Brisley & Walid Y. Busaba, 2007, "Secret Reservation Prices in Bookbuilding," Review of Finance, European Finance Association, volume 11, issue 4, pages 693-718.
  2. Choi, Youngsoo & Wirjanto, Tony S., 2007, "An analytic approximation formula for pricing zero-coupon bonds," Finance Research Letters, Elsevier, volume 4, issue 2, pages 116-126, June.

2006

  1. Neil Brisley, 2006, "Executive Stock Options: Early Exercise Provisions and Risk‐taking Incentives," Journal of Finance, American Finance Association, volume 61, issue 5, pages 2487-2509, October, DOI: 10.1111/j.1540-6261.2006.01064.x.
  2. Joseph DeJuan & John Seater & Tony Wirjanto, 2006, "Testing the permanent-income hypothesis: new evidence from West-German states ( Länder)," Empirical Economics, Springer, volume 31, issue 3, pages 613-629, September, DOI: 10.1007/s00181-005-0035-4.

2005

  1. Ayoub Yousefi & Tony S. Wirjanto, 2005, "A stylized exchange rate pass‐through model of crude oil price formation," OPEC Energy Review, Organization of the Petroleum Exporting Countries, volume 29, issue 3, pages 177-197, September, DOI: 10.1111/j.0277-0180.2005.00150.x.

2004

  1. Tony Wirjanto, 2004, "Exploring consumption-based asset pricing model with stochastic-trend forcing processes," Applied Economics, Taylor & Francis Journals, volume 36, issue 14, pages 1591-1597, DOI: 10.1080/0003684042000217940.
  2. Yousefi, Ayoub & Wirjanto, Tony S., 2004, "The empirical role of the exchange rate on the crude-oil price formation," Energy Economics, Elsevier, volume 26, issue 5, pages 783-799, September.
  3. Dejuan, Joseph P & Seater, John J & Wirjanto, Tony S, 2004, "A Direct Test of the Permanent Income Hypothesis with an Application to the U.S. States," Journal of Money, Credit and Banking, Blackwell Publishing, volume 36, issue 6, pages 1091-1103, December.

2003

  1. Neil Brisley, 2003, "A Comparative Analysis of IPO Proceeds Under Alternative Regulatory Environments: A Comment," Economics Bulletin, AccessEcon, volume 7, issue 1, pages 1-7.
  2. Yousefi, Ayoub & Wirjanto, Tony S., 2003, "Exchange rate of the US dollar and the J curve: the case of oil exporting countries," Energy Economics, Elsevier, volume 25, issue 6, pages 741-765, November.

2000

  1. Robert A. Amano & Tony S. Wirjanto, 2000, "On the Stability of Long-Run M2 Demand in Japan," The Japanese Economic Review, Japanese Economic Association, volume 51, issue 4, pages 536-543, December.

1999

  1. Kevin T. Reilly & Tony S. Wirjanto, 1999, "The Proportion of Females in the Establishment: Discrimination, Preferences and Technology," Canadian Public Policy, University of Toronto Press, volume 25, issue s1, pages 73-94, November.
  2. Kevin Reilly & Tony Wirjanto, 1999, "Does More Mean Less? The Male/Female Wage Gap and the Proportion of Females at the Establishment Level," Canadian Journal of Economics, Canadian Economics Association, volume 32, issue 4, pages 906-929, August.

1998

  1. Robert A. Amano & Tony S. Wirjanto, 1998, "Government Expenditures and the Permanent-Income Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 1, issue 3, pages 719-730, July, DOI: 10.1006/redy.1998.0021.
  2. Amano, Robert A & Wirjanto, Tony S, 1998, "Re-examining Variance-Bounds Tests for Asset Prices," Review of Quantitative Finance and Accounting, Springer, volume 10, issue 2, pages 155-172, March.
  3. Lee, T Y & Wirjanto, Tony S, 1998, "On the Efficiency of Conditional Heteroskedasticity Models," Review of Quantitative Finance and Accounting, Springer, volume 10, issue 1, pages 21-37, January.

1997

  1. Robert A. Amano & Tony S. Wirjanto, 1997, "Intratemporal Substitution And Government Spending," The Review of Economics and Statistics, MIT Press, volume 79, issue 4, pages 605-609, November.
  2. Amano, Robert A. & Wirjanto, Tony S., 1997, "An Empirical Study of Dynamic Labor Demand with Integrated Forcing Processes," Journal of Macroeconomics, Elsevier, volume 19, issue 4, pages 697-715, October.
  3. Amano, Robert A. & Wirjanto, Tony S., 1997, "Adjustment costs and import demand behavior: evidence from Canada and the United States," Journal of International Money and Finance, Elsevier, volume 16, issue 3, pages 461-476, June.
  4. Tony Wirjanto, 1997, "Aggregate consumption behaviour with time-nonseparable preferences and liquidity constraints," Applied Financial Economics, Taylor & Francis Journals, volume 7, issue 1, pages 107-114, DOI: 10.1080/096031097333899.

1996

  1. Brisley, Neil & Theobald, Michael, 1996, "A Simple Measure of Price Adjustment Coefficients: A Correction," Journal of Finance, American Finance Association, volume 51, issue 1, pages 381-382, March.
  2. Amano, Robert A & Wirjanto, Tony S, 1996, "Money Stock Targeting and Money Supply: A Closer Examination of the Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 11, issue 1, pages 93-104, Jan.-Feb..
  3. Amano, Robert A. & Wirjanto, Tony S., 1996, "Intertemporal substitution, imports and the permanent income model," Journal of International Economics, Elsevier, volume 40, issue 3-4, pages 439-457, May.
  4. Wirjanto, T. S., 1996, "The limiting distributions of unit-root tests for data with cross-sectional and time-series dimensions," Statistics & Probability Letters, Elsevier, volume 30, issue 1, pages 73-77, September.

1995

  1. Tony S. Wirjanto, 1995, "Aggregate Consumption Behaviour and Liquidity Constraints: The Canadian Evidence," Canadian Journal of Economics, Canadian Economics Association, volume 28, issue 4b, pages 1135-1152, November.

1993

  1. Gregory, Allan W. & Wirjanto, Tony, 1993, "The effect of sampling error on the time series behavior of consumption data," Journal of Econometrics, Elsevier, volume 55, issue 1-2, pages 267-273.

1991

  1. Tony S. Wirjanto, 1991, "Testing the Permanent Income Hypothesis: The Evidence from Canadian Data," Canadian Journal of Economics, Canadian Economics Association, volume 24, issue 3, pages 563-577, August.

1990

  1. Otto, Glenn & Wirjanto, Tony, 1990, "Seasonal unit-root tests on Canadian macroeconomic time series," Economics Letters, Elsevier, volume 34, issue 2, pages 117-120, October.

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