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Modeling asymmetric volatility clusters using Copulas and high frequency data
Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - 2010
Persistent link: https://www.econbiz.de/10003975430
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An empirical characteristic function approach to VaR under a mixture-of-normal distribution with time-varying volatility
Xu, Dinghai; Wirjanto, Tony S. - In: The journal of derivatives : the official publication … 18 (2010) 1, pp. 39-58
Persistent link: https://www.econbiz.de/10008655519
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Testing the stochastic implications of the permanent income hypothesis using Canadian provincial data
DeJuan, Joseph P.; Seater, John J.; Wirjanto, Tony S. - In: Oxford bulletin of economics and statistics 72 (2010) 1, pp. 89-108
Persistent link: https://www.econbiz.de/10003945140
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The impact of stochastic convenience yield on long-term forestry investment decisions
Chen, Shan; Insley, Margaret; Wirjanto, Tony S. - 2011
Persistent link: https://www.econbiz.de/10009155897
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Inference about clustering and parametric assumptions in covariance matrix estimation
Packalen, Mikko; Wirjanto, Tony S. - 2010
Persistent link: https://www.econbiz.de/10009156142
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Path dependence of dynamic information technology capability : an empirical investigation
Lim, Jee Hae; Stratopoulos, Theophanis C.; Wirjanto, Tony S. - In: Journal of management information systems : JMIS 28 (2011/12) 3, pp. 45-84
Persistent link: https://www.econbiz.de/10009508774
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Contrasting two approaches in real options valuation : contingent claims versus dynamic programming
Insley, Margaret; Wirjanto, Tony S. - In: Journal of forest economics : JFE 16 (2010) 2, pp. 157-176
Persistent link: https://www.econbiz.de/10009248514
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Time-deformation modeling of stock returns directed by duration processes
Feng, Dingan; Song, Peter X.-K.; Wirjanto, Tony S. - In: Econometric reviews 34 (2015) 1/5, pp. 480-511
Persistent link: https://www.econbiz.de/10011373264
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Is volatility clustering of asset returns asymmetric?
Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - In: Journal of banking & finance 52 (2015), pp. 62-76
Persistent link: https://www.econbiz.de/10011377303
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Is volatility clustering of asset returns asymmetric?
Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - 2014
Persistent link: https://www.econbiz.de/10011382186