Details about Tony S. Wirjanto

Access statistics for papers by Tony S. Wirjanto.

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Short-id: pwi146

Working Papers

2013

1. A Threshold Stochastic Conditional Duration Model for Financial Transaction Data
   Working Paper series, Rimini Centre for Economic Analysis View citations (2)
2. Bayesian Inference of Asymmetric Stochastic Conditional Duration Models
   Working Paper series, Rimini Centre for Economic Analysis View citations (1)
3. Bayesian Inference of Multiscale Stochastic Conditional Duration Models
   Working Paper series, Rimini Centre for Economic Analysis
4. Pricing Financial Derivatives by Gram-Charlier Expansions
   Working Paper series, Rimini Centre for Economic Analysis
5. Stochastic Conditional Duration Models with Mixture Processes
   Working Paper series, Rimini Centre for Economic Analysis View citations (1)
6. The Impacts of Financial Crisis on Sovereign Credit Risk Analysis in Asia and Europe
   Working Paper series, Rimini Centre for Economic Analysis View citations (1)
7. Uncertainty, Unemployment Insurance, Individual's Optimal Stopping Time and Duration of Unemployment
   Working Paper series, Rimini Centre for Economic Analysis

2011

8. The Impact of Stochastic Convenience Yield on Long-term Forestry Investment Decisions
   Working Papers, University of Waterloo, Department of Economics

2010

9. Inference about Clustering and Parametric Assumptions in Covariance Matrix Estimation
   Working Papers, University of Waterloo, Department of Economics
   See also Journal Article Inference about clustering and parametric assumptions in covariance matrix estimation, Computational Statistics & Data Analysis, Elsevier (2012) (2012)
10. Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data
    Working Papers, University of Waterloo, Department of Economics View citations (2)
    Also in Working Papers, Toronto Metropolitan University, Department of Economics (2009) View citations (1)

2008

11. A Simple Model of the Nominal Term Structure of Interest Rates
    Working Papers, University of Waterloo, Department of Economics
12. 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 View citations (3)
13. Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"
    Working Papers, University of Waterloo, Department of Economics View citations (3)
    See also Journal Article Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach, Journal of Financial Econometrics, Oxford University Press (2011) View citations (6) (2011)
14. Contrasting two approaches in real options valuation: contingent claims versus dynamic programming
    Working Papers, University of Waterloo, Department of Economics View citations (5)
    See also Journal Article Contrasting two approaches in real options valuation: Contingent claims versus dynamic programming, Journal of Forest Economics, Elsevier (2010) View citations (9) (2010)
15. Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach
    Working Papers, University of Waterloo, Department of Economics View citations (4)
    See also Journal Article Extreme return-volume dependence in East-Asian stock markets: A copula approach, Finance Research Letters, Elsevier (2009) View citations (35) (2009)
16. IT Innovation Persistence and State Dependence: An Empirical Investigation
    Working Papers, University of Waterloo, Department of Economics
17. Re-examining Accounting Conservatism: The Importance of Adjusting for Firm Heterogeneity
    Working Papers, University of Waterloo, Department of Economics
18. Time-Deformation Modeling Of Stock Returns Directed By Duration Processes
    Working Papers, University of Waterloo, Department of Economics

2004

19. The Proportion of Females in the Establishment: Discrimination, Preferences and Technology
    Labor and Demography, University Library of Munich, Germany View citations (2)
    See also Journal Article The Proportion of Females in the Establishment: Discrimination, Preferences and Technology, Canadian Public Policy, University of Toronto Press (1999) View citations (1) (1999)

2003

20. A Direct Test of the Permanent Income Hypothesis with an Application to the US States
    Working Papers, University of Waterloo, Department of Economics View citations (2)
    See also Journal Article A Direct Test of the Permanent Income Hypothesis with an Application to the U.S. States, Journal of Money, Credit and Banking, Blackwell Publishing (2004) View citations (15) (2004)

1999

21. Bootstrapping and Jackknifing Neural Networks for Noisy Financial Time Series
    Working Papers, University of Waterloo, Department of Economics
22. Intraperiod and Intertemporal Substitution in Import Demand
    Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal View citations (6)

1998

23. Does More Mean Less? The Male/Female Wage Gap and the Proportion of Female at the Establishment Level
    Working Papers, Centre for Labour Market and Social Research, Danmark- View citations (2)
    Also in Working Papers, University of Waterloo, Department of Economics (1997) View citations (5)
    See also Journal Article 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 (1999) View citations (45) (1999)

1997

24. Government Expenditures and the Permanent-Income Model
    Working Papers, University of Waterloo, Department of Economics View citations (5)
    See also Journal Article Government Expenditures and the Permanent-Income Model, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (1998) View citations (45) (1998)
25. On the Existence and Duration "Wait" Migration in a Generalized Model
    Working Papers, University of Waterloo, Department of Economics
26. The Role of Risk Aversion and Uncertainty in Individual's Migration Decision
    Working Papers, University of Waterloo, Department of Economics View citations (2)

1995

27. An Empirical Investigation into Government Spending and Private Sector Behaviour
    Macroeconomics, University Library of Munich, Germany
    Also in Staff Working Papers, Bank of Canada View citations (5)
28. Intertemporal Substitution, Imports and Permanent-Income
    Working Papers, University of Waterloo, Department of Economics

1994

29. A Further Analysis of Exchange Rate Targeting in Canada
    Econometrics, University Library of Munich, Germany View citations (2)
    Also in Staff Working Papers, Bank of Canada View citations (2)
30. The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation
    Econometrics, University Library of Munich, Germany View citations (4)
    Also in Staff Working Papers, Bank of Canada View citations (2)

1993

31. A Unified Framework for Estimation od a Sur Model in Accounting Information
    Working Papers, University of Waterloo, Department of Economics
32. Aggregate Consumption Behavior and Liquidity Constraints: The Canadian Evidence
    Working Papers, University of Waterloo, Department of Economics View citations (1)
    See also Journal Article Aggregate Consumption Behaviour and Liquidity Constraints: The Canadian Evidence, Canadian Journal of Economics, Canadian Economics Association (1995) View citations (16) (1995)
33. Money Stock Targetting and Money Supply: A Closer Examination of the Data
    Working Papers, University of Waterloo, Department of Economics
    See also Journal Article Money Stock Targeting and Money Supply: A Closer Examination of the Data, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1996) View citations (1) (1996)
34. On Non-Stationary Linear Regressions Model with a Lagged Dependent Variable
    Working Papers, University of Waterloo, Department of Economics
35. The Consequences of Specification errors for Sample- selection Model
    Working Papers, University of Waterloo, Department of Economics
36. The Dynamic Demand for Money in Germany, Japan and the United Kingdom
    Working Papers, University of Waterloo, Department of Economics View citations (9)
37. The GMM Estimation of Conditional Heteroskedasticity Models
    Working Papers, University of Waterloo, Department of Economics

1989

38. 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 View citations (9)
39. Testing the Permanent Income Hypothesis: The Evidence from Canadian Data
    Working Paper, Economics Department, Queen's University
    See also Journal Article Testing the Permanent Income Hypothesis: The Evidence from Canadian Data, Canadian Journal of Economics, Canadian Economics Association (1991) View citations (10) (1991)

Journal Articles

2012

1. Do foreigners facilitate information transmission in emerging markets?
   Journal of Financial Economics, 2012, 105, (1), 209-227 View citations (117)
2. Inference about clustering and parametric assumptions in covariance matrix estimation
   Computational Statistics & Data Analysis, 2012, 56, (1), 1-14
   See also Working Paper Inference about Clustering and Parametric Assumptions in Covariance Matrix Estimation, Working Papers (2010) (2010)

2011

3. Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach
   Journal of Financial Econometrics, 2011, 9, (3), 469-488 View citations (6)
   See also Working Paper Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach", Working Papers (2008) View citations (3) (2008)

2010

4. Contrasting two approaches in real options valuation: Contingent claims versus dynamic programming
   Journal of Forest Economics, 2010, 16, (2), 157-176 View citations (9)
   See also Working Paper Contrasting two approaches in real options valuation: contingent claims versus dynamic programming, Working Papers (2008) View citations (5) (2008)
5. Estimating the impacts of cigarette taxes on youth smoking participation, initiation, and persistence: empirical evidence from Canada
   Health Economics, 2010, 19, (11), 1264-1280 View citations (18)
6. Testing the Stochastic Implications of the Permanent Income Hypothesis Using Canadian Provincial Data*
   Oxford Bulletin of Economics and Statistics, 2010, 72, (1), 89-108 View citations (2)

2009

7. Do Chinese publicly listed companies adjust their capital structure toward a target level?
   China Economic Review, 2009, 20, (4), 662-676 View citations (42)
8. Empirical tests of the float-adjusted return model
   Finance Research Letters, 2009, 6, (4), 219-229 View citations (3)
9. Extreme return-volume dependence in East-Asian stock markets: A copula approach
   Finance Research Letters, 2009, 6, (4), 202-209 View citations (35)
   See also Working Paper Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach, Working Papers (2008) View citations (4) (2008)

2008

10. Modeling the leverage effect with copulas and realized volatility
    Finance Research Letters, 2008, 5, (4), 221-227 View citations (10)
11. The impact of sales taxation on internet commerce -- An empirical analysis
    Economics Letters, 2008, 99, (3), 557-560 View citations (1)

2007

12. An analytic approximation formula for pricing zero-coupon bonds
    Finance Research Letters, 2007, 4, (2), 116-126 View citations (7)

2006

13. Testing the permanent-income hypothesis: new evidence from West-German states ( Länder)
    Empirical Economics, 2006, 31, (3), 613-629 View citations (11)

2005

14. A stylized exchange rate pass‐through model of crude oil price formation
    OPEC Energy Review, 2005, 29, (3), 177-197 View citations (10)

2004

15. A Direct Test of the Permanent Income Hypothesis with an Application to the U.S. States
    Journal of Money, Credit and Banking, 2004, 36, (6), 1091-1103 View citations (15)
    See also Working Paper A Direct Test of the Permanent Income Hypothesis with an Application to the US States, Working Papers (2003) View citations (2) (2003)
16. Exploring consumption-based asset pricing model with stochastic-trend forcing processes
    Applied Economics, 2004, 36, (14), 1591-1597 View citations (2)
17. The empirical role of the exchange rate on the crude-oil price formation
    Energy Economics, 2004, 26, (5), 783-799 View citations (78)

2003

18. Exchange rate of the US dollar and the J curve: the case of oil exporting countries
    Energy Economics, 2003, 25, (6), 741-765 View citations (17)

2000

19. On the Stability of Long-Run M2 Demand in Japan
    The Japanese Economic Review, 2000, 51, (4), 536-543 View citations (5)

1999

20. Does More Mean Less? The Male/Female Wage Gap and the Proportion of Females at the Establishment Level
    Canadian Journal of Economics, 1999, 32, (4), 906-929 View citations (45)
    See also Working Paper Does More Mean Less? The Male/Female Wage Gap and the Proportion of Female at the Establishment Level, Working Papers (1998) View citations (2) (1998)
21. The Proportion of Females in the Establishment: Discrimination, Preferences and Technology
    Canadian Public Policy, 1999, 25, (s1), 73-94 View citations (1)
    See also Working Paper The Proportion of Females in the Establishment: Discrimination, Preferences and Technology, Labor and Demography (2004) View citations (2) (2004)

1998

22. Government Expenditures and the Permanent-Income Model
    Review of Economic Dynamics, 1998, 1, (3), 719-730 View citations (45)
    See also Working Paper Government Expenditures and the Permanent-Income Model, Working Papers (1997) View citations (5) (1997)
23. On the Efficiency of Conditional Heteroskedasticity Models
    Review of Quantitative Finance and Accounting, 1998, 10, (1), 21-37 View citations (1)
24. Re-examining Variance-Bounds Tests for Asset Prices
    Review of Quantitative Finance and Accounting, 1998, 10, (2), 155-72

1997

25. Adjustment costs and import demand behavior: evidence from Canada and the United States
    Journal of International Money and Finance, 1997, 16, (3), 461-476 View citations (6)
26. Aggregate consumption behaviour with time-nonseparable preferences and liquidity constraints
    Applied Financial Economics, 1997, 7, (1), 107-114 View citations (4)
27. An Empirical Study of Dynamic Labor Demand with Integrated Forcing Processes
    Journal of Macroeconomics, 1997, 19, (4), 697-715 View citations (4)
28. Intratemporal Substitution And Government Spending
    The Review of Economics and Statistics, 1997, 79, (4), 605-609 View citations (41)

1996

29. Intertemporal substitution, imports and the permanent income model
    Journal of International Economics, 1996, 40, (3-4), 439-457 View citations (11)
30. Money Stock Targeting and Money Supply: A Closer Examination of the Data
    Journal of Applied Econometrics, 1996, 11, (1), 93-104 View citations (1)
    See also Working Paper Money Stock Targetting and Money Supply: A Closer Examination of the Data, Working Papers (1993) (1993)
31. The limiting distributions of unit-root tests for data with cross-sectional and time-series dimensions
    Statistics & Probability Letters, 1996, 30, (1), 73-77 View citations (2)

1995

32. Aggregate Consumption Behaviour and Liquidity Constraints: The Canadian Evidence
    Canadian Journal of Economics, 1995, 28, (4b), 1135-52 View citations (16)
    See also Working Paper Aggregate Consumption Behavior and Liquidity Constraints: The Canadian Evidence, Working Papers (1993) View citations (1) (1993)

1993

33. The effect of sampling error on the time series behavior of consumption data
    Journal of Econometrics, 1993, 55, (1-2), 267-273 View citations (6)

1991

34. Testing the Permanent Income Hypothesis: The Evidence from Canadian Data
    Canadian Journal of Economics, 1991, 24, (3), 563-77 View citations (10)
    See also Working Paper Testing the Permanent Income Hypothesis: The Evidence from Canadian Data, Working Paper (1989) (1989)

1990

35. Seasonal unit-root tests on Canadian macroeconomic time series
    Economics Letters, 1990, 34, (2), 117-120 View citations (5)