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Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China

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Forecasting value at risk with intra-day return curves

Rice, Gregory; Wirjanto, Tony S.; Zhao, Yuqian - In: International journal of forecasting 36 (2020) 3, pp. 1023-1038

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Sustainable portfolio management under climate change

Fang, Mingyu; Tan, Ken Seng; Wirjanto, Tony S. - In: Journal of sustainable finance & investment 9 (2019) 1, pp. 45-67

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Demography and inflation : an international study

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Advances in predictive analytics

Tan, Ken Seng; Weng, Chengguo; Wirjanto, Tony S. - In: North American actuarial journal : NAAJ ; leading the … 24 (2020) 2, pp. 165-167

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Predictive analytics

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Bayesian analysis of a threshold stochastic volatility model

Wirjanto, Tony S.; Kolkiewicz, Adam W.; Men, Zhongxian - In: Journal of forecasting 35 (2016) 5, pp. 462-476

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Wrong-way risk bounds in counterparty credit risk management

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A multiscale stochastic conditional duration model

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Threshold stochastic conditional duration model for financial transaction data

Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of risk and financial management : JRFM 12 (2019) 2/88, pp. 1-21

This paper proposes a variant of a threshold stochastic conditional duration (TSCD) model for financial data at the transaction level. It assumes that the innovations of the duration process follow a threshold distribution with a positive support. In addition, it also assumes that the latent...

Persistent link: https://www.econbiz.de/10012022077