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Tony Wirjanto

Professor

Tony Wirjanto

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Tony Wirjanto

Tony Wirjanto's personal website

Research interests

Professor Wirjanto's research interests lie in the intersection between statistics and econometrics. In particular he conducts research in the field of financial time series with a focus on volatility modeling/forecasting and financial risk management, and in the field of financial mathematics with a focus on portfolio optimization in a high-dimensional setting and on global climate change risks.

Education/biography

Professor Wirjanto is trained in econometrics/statistics at Queen’s University at Kingston. Prior to joining Department of Statistics & Actuarial Science and School of Accounting & Finance (in a joint appointment) in 2009, he was a professor of econometrics at the Department of Economics at UW.  He serves on the editorial boards for a number of academic journals such as Austin Statistics, Econometrics, Journal of Mathematical Finance, Journal of Risk and Financial Management and Mathematical Finance Letters.

Selected publications

  • Rice, G., T. S. Wirjanto, and Yuqian Zhao (2020). Tests for Conditional Heteroscedasticity of Functional Data. To appear in the Journal of Time Series Analysis.
  • Rice, G., T. S. Wirjanto, and Yuqian Zhao (2020). Forecasting Value-at-Risk via Intra-day Return Curves. International Journal of Forecasting. Available at: https://doi.org/10.1016/j.ijforecast.2019.10.006.
  • Shen, Y. and T. S. Wirjanto (2019). Stationarity as a Path Property. Probability and Mathematical Statistics, Vol. 39(2), 403-432. Available at:  http://www.math.uni.wroc.pl/~pms/files_doi/f_39.2.9/f_39.2.9.pdf.
  • 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. 12(2), 88. https://doi.org/10.3390/jrfm12020088.
  • Fang, M., K. S. Tan, K. S., and T. S. Wirjanto (2019). Sustainable Portfolios under Climate Change: A Framework for Managing Investment- related Climate Change Risks. Risks & Rewards, 73, March, 18-23.
  • Fang, M., K. S. Tan, and T. S. Wirjanto (2019). Sustainable Portfolio Management under Climate Change, Journal of Sustainable Finance & Investment, Vol. 9(1). https://doi.org/10.1080/20430795.2018.1522583
Affiliation: 
University of Waterloo
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