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.
Prof. Wirjanto is a Professor with the School of Accounting and Finance of the Faculty of Arts and Department of Statistics and Actuarial Science of the Faculty of Mathematics at the University of Waterloo. His other academic appointments and duties include: An Associate Director of Waterloo Research Institute in Insurance, Securities and Quantitative finance (WatRISQ); a Senior Fellow at the Rimini Centre for Economic Analysis (RCEA), Rimini, Italy; a Senior Guest Professor at the Department of Finance of the School of Economics at Zhejiang University, Hangzhou, Zhejiang, China; and an Associate Editor of the Journal of Mathematical Finance, Mathematical Finance Letters, Econometrics, and Empirical Economics.
Lim, J-H., T. C. Stratopoulos and T. S. Wirjanto (2012). Sustainability of a Firm’s Reputation for IT Capability: Role of Senior IT Executives. To appear in the Journal of Management Information Systems. .
Feng, D., P. X. K. Song, T. S. Wirjanto (2012). Time-Deformation Modeling of Stock Returns Directed by Duration Processes. To appear in Econometric Reviews.
Bae, K. H. A. Ozoguz, H. P. Tan and T. S. Wirjanto (2012). Do Foreigners Facilitate Information Transmission in Emerging Markets? Journal of Financial Economics, 105, 209–227.
Lim, J. H., T. C. Stratopoulos and T. S. Wirjanto (2012). Path Dependence of Dynamic Information Technology Capability: An Empirical Investigation, Journal of Management Information Systems, 28 (3): 45-84.
Packalen, M. and T. S. Wirjanto (2012). Inference About Clustering and Parametric Assumptions in Covariance Matrix Estimation, Computational Statistics and Data Analysis, 56, 1–14 .
Lim, J. H., T. C. 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, 13, 21–40.
Wirjanto, T. S. and A. G. Huang (2012). Is China’s P/E Ratio Too Low? Examining the Role of Earnings Volatility, Pacific-Basin Finance Journal, 20, 41–61.
Huang, A. G., Y. Tian, and T. S. Wirjanto (2012). Re-examining Accounting Conservatism: The Importance of Adjusting for Firm Heterogeneity, Advances in Quantitative Analysis of Finance and Accounting, 10, 193-223.
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.