Tony S. Wirjanto : Citation Profile

Are you Tony S. Wirjanto?

University of Waterloo

11

H index

13

i10 index

488

Citations

RESEARCH PRODUCTION:

35

Articles

44

Papers

RESEARCH ACTIVITY:

   24 years (1989 - 2013). See details.
   Cites by year: 20
   Journals where Tony S. Wirjanto has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 11 (2.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwi146
   Updated: 2021-10-16    RAS profile: 2014-03-16    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Tony S. Wirjanto.

Is cited by:

Havranek, Tomas (10)

Levy, Daniel (7)

Van Robays, Ine (6)

Lim, Kian-Ping (6)

Magda, Iga (6)

Fratzscher, Marcel (6)

Insley, Margaret (5)

Fortin, Nicole (5)

Heinze, Anja (5)

Baker, Michael (5)

Sokolova, Anna (5)

Cites to:

Phillips, Peter (34)

Ogaki, Masao (20)

Hansen, Lars (18)

Hansen, Bruce (17)

Stock, James (16)

Bauwens, Luc (13)

Perron, Pierre (12)

Park, Joon (12)

Knight, John (11)

Mankiw, N. Gregory (10)

Watson, Mark (10)

Main data

Where Tony S. Wirjanto has published?

Journals with more than one article published# docs
Finance Research Letters4
Canadian Journal of Economics3
Review of Quantitative Finance and Accounting2
Economics Letters2
Energy Economics2

Working Papers Series with more than one paper published# docs
Working Papers / University of Waterloo, Department of Economics25
Working Paper series / Rimini Centre for Economic Analysis7
Staff Working Papers / Bank of Canada3
Econometrics / University Library of Munich, Germany2
Working Paper / Economics Department, Queen's University2

Recent works citing Tony S. Wirjanto (2021 and 2020)

YearTitle of citing document
2020Estimation of Consumption Function for Developing Economies: China, Turkey, Vietnam and Bangladesh. (2020). Khan, Khalid ; Wotto, Marguerite ; Liaqat, Saima. In: Global Economics Review. RePEc:aaw:journl:v:5:y:2020:i:1:p:1-11.

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2020Information asymmetry and leverage adjustments: a semiparametric varying‐coefficient approach. (2020). Kumbhakar, Subal ; Zhao, Shunan ; Jin, Man. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:2:p:581-605.

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2020Can Technical Indicators Provide Information for Future Volatility: International Evidence. (2020). Xun, Peng ; Tingting, Ying ; Nenghui, Zhu ; Yanlong, Shi ; Xiangxing, Tao ; Yafeng, Shi. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:8:y:2020:i:1:p:53-66:n:4.

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2020The Effect of the China Connect. (2020). Zhou, Sili ; Rogers, John ; Ma, Chang. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2020_028.

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2020The Relationship Between Crude Oil Prices, EUR/USD Exchange Rate and Gold Prices. (2020). Hanane, Abdelli ; Youcef, Hadji ; Abdessalam, Belbali ; Zouheyr, Gheraia ; Houcine, Benlaria. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-27.

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2021Does stock market liberalization mitigate litigation risk? Evidence from Stock Connect in China. (2021). Xiao, Lijuan ; Deng, Hui ; Xiong, Lingyun. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s026499932100170x.

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2020Can foreign equity funds outperform their benchmarks? New evidence from fund-holding data for China. (2020). Yan, Cheng ; Wang, Guipu ; Zhang, Jinhua. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:11-20.

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2020Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Wohar, Mark E ; Adewuyi, Adeolu O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305497.

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2020Asymmetric risk spillovers between Shanghai and Hong Kong stock markets under China’s capital account liberalization. (2020). He, Jianmin ; Li, Shouwei ; Wei, YU ; Yang, Kun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302384.

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2020The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures. (2020). Ku, Yu-Cheng ; Chuang, Hwei-Lin ; Kao, Yu-Sheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303358.

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2021Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration. (2021). Zhou, LI ; Huang, Yilong ; Xiao, Binuo ; Tan, Zhengxun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000115.

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2020More shareholders, higher liquidity? Evidence from an emerging stock market. (2020). Goh, Kim-Leng ; Lim, Kian-Ping ; Chia, Yee-Ee. In: Emerging Markets Review. RePEc:eee:ememar:v:44:y:2020:i:c:s1566014118305016.

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2021How does stock market liberalization influence corporate innovation? Evidence from Stock Connect scheme in China. (2021). Wang, Shuxun. In: Emerging Markets Review. RePEc:eee:ememar:v:47:y:2021:i:c:s1566014119304443.

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2020Do foreign investors insulate firms from local shocks? Evidence from the response of investable firms to monetary policy. (2020). Kelly, Patrick ; Hunter, Delroy M ; Francis, Bill B. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:386-411.

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2020The relationship between oil prices and exchange rates: Revisiting theory and evidence. (2020). Czudaj, Robert ; Beckmann, Joscha ; Arora, Vipin. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301122.

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2020On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?. (2020). Prakash, Ravi ; Ahmad, Wasim ; Dutta, Anupam ; Rahman, Md Lutfur ; Kaur, Rishman Jot ; Uddin, Gazi Salah. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302115.

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2021Does oil price uncertainty affect corporate leverage? Evidence from China. (2021). Zhao, Yanfei ; Zhang, Zongyi ; Fan, Zhenjun. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001572.

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2020Factors driving oil price —— from the perspective of United States. (2020). Lobon, Oana-Ramona ; Moldovan, Nicoleta-Claudia ; Tao, Ran ; Qin, Meng ; Su, Chi-Wei. In: Energy. RePEc:eee:energy:v:197:y:2020:i:c:s0360544220303261.

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2020Forecasting volatility using realized stochastic volatility model with time-varying leverage effect. (2020). Wang, Xiaona ; Wu, Xinyu. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319305021.

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2020Tail dependence in the return-volume of leading cryptocurrencies. (2020). Bouri, Elie ; Roubaud, David ; Boako, Gideon ; Naeem, Muhammad. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319306087.

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2021Country governance and international equity returns. (2021). Visaltanachoti, Nuttawat ; Nguyen, Nhut H ; Marshall, Ben R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s037842662030248x.

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2021A new unique information share measure with applications on cross-listed Chinese banks. (2021). Shi, Yanlin ; Li, Hong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621000996.

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2021Stock market liberalization and innovation. (2021). Tian, Xuan ; Zhang, Wenrui ; Moshirian, Fariborz. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:985-1014.

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2020Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach. (2020). Mokni, Khaled ; Youssef, Manel. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:55:y:2020:i:c:s1042444x20300141.

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2021Do managers pay attention to the market? A review of the relationship between stock price informativeness and investment. (2021). Silva, Paulo ; da Silva, Paulo Pereira. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:59:y:2021:i:c:s1042444x20300645.

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2021The changing role of foreign investors in Tokyo stock price formation. (2021). Iwatsubo, Kentaro ; Watkins, Clinton. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x2100055x.

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2021Analysis of oil price fluctuation under the influence of crude oil stocks and US dollar index — Based on time series network model. (2021). Gao, Cuixia ; Han, Dun ; Sun, Mei ; Zhou, Jie. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:582:y:2021:i:c:s037843712100491x.

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2021Stock price crashes in emerging markets. (2021). Qin, Yafeng ; Zhang, Huiping ; Bai, Min. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:466-482.

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2020Economic engagement and within emerging markets integration. (2020). Aaawaar, Godfred ; Akotey, Joseph Oscar ; Boamah, Nicholas Addai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919301047.

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2020State ownership and adjustment speed toward target leverage: Evidence from a transitional economy. (2020). Bai, Min ; Nguyen, Thao ; Vu, Manh-Chien ; Hou, Greg. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919303915.

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2021Is export tax rebate a quality signal to determine firms’ capital structure? A financial intermediation perspective. (2021). Zhang, Dongyang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s027553192030355x.

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2020The Impact of Public Debt on Economic Growth of ASEAN + 3 Countries. (2020). Toan, Nguyen Trong ; Duong, Mai Binh ; Ha, Pham Thi. In: International Journal of Economics & Business Administration (IJEBA). RePEc:ers:ijebaa:v:viii:y:2020:i:4:p:87-100.

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2020The Strategy of South Korea in the Global Oil Market. (2020). Jung, Sang-Uk ; Mikhaylov, Alexey ; An, Jaehyung. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:10:p:2491-:d:358424.

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2020Time-Varying Relationship between Crude Oil Price and Exchange Rate in the Context of Structural Breaks. (2020). Zheng, Yuhang ; Peng, Jiaying ; Failler, Pierre ; Liu, Yue. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:9:p:2395-:d:356651.

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2020The Aumann–Serrano Performance Index for Multi-Period Gambles in Stock Data. (2020). Hodoshima, Jiro ; Yamawake, Toshiyuki. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:288-:d:448162.

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2020A Note on the Empirical Relation between Oil Prices and the Value of the Dollar. (2020). Merler, Silvia ; Marquez, Jaime. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:8:p:164-:d:390830.

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2020Sustainability of Both Pecking Order and Trade-Off Theories in Chinese Manufacturing Firms. (2020). Wong, Wing-Keung ; Wu, Yang-Che ; Nguyen, Thi Huong ; Giang, Thi Huong. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:9:p:3883-:d:355969.

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2020The High-Volume Return Premium: Does it Really Exist in the Chinese Stock Market?. (2020). Zheng, Xingjian ; Shen, Dehua. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:2:d:10.1007_s10690-019-09290-4.

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2020Market Adaptability and Evolving Predictability of Stock Returns: An Evidence from India. (2020). Patra, Subhamitra ; Bhuyan, Biswabhusan ; Bhuian, Ranjan Kumar. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:4:d:10.1007_s10690-020-09308-2.

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2021Forecasting Volatility for an Optimal Portfolio with Stylized Facts Using Copulas. (2021). Belkacem, Lotfi ; Boubaker, Heni ; Karmous, Aida. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10041-1.

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2020Smoking inequality across genders and socio-economic positions. Evidence from Italian data. (2020). Migheli, Matteo ; Jacobs, Rowena ; Novi, Cinzia. In: Journal of Bioeconomics. RePEc:kap:jbioec:v:22:y:2020:i:3:d:10.1007_s10818-020-09301-9.

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2020Another look at the implied and realised volatility relation: a copula-based approach. (2020). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:1:d:10.1057_s41283-019-00054-y.

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2020Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates. (2020). Nguyen, Duc Khuong ; Fan, Ying ; Liu, Bing-Yue ; Ji, Qiang. In: MPRA Paper. RePEc:pra:mprapa:101387.

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2020Do Consumers Really Follow a Rule of Thumb? Three Thousand Estimates from 144 Studies Say Probably Not. (). Sokolova, Anna ; Havranek, Tomas. In: Review of Economic Dynamics. RePEc:red:issued:18-255.

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2020Modeling the dynamics of import in the Russian Federation using the error correction model. (2020). Polbin, Andrey ; Fokin, Nikita. In: Applied Econometrics. RePEc:ris:apltrx:0401.

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2020.

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2020.

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2021Dynamic linkage between oil prices and exchange rates: new global evidence. (2021). Lee, Chien-Chiang ; Chang, Yu-Fang ; Huang, Bwo-Nung . In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:2:d:10.1007_s00181-020-01874-8.

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2020Consumer behavior in a monetary economy and smoothing of composite consumption. (2020). Hayakawa, Hiroaki. In: Eurasian Economic Review. RePEc:spr:eurase:v:10:y:2020:i:1:d:10.1007_s40822-019-00134-0.

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2021Integration, investor protection rules and global informational inefficiency of emerging financial markets. (2021). Boamah, Nicholas Addai. In: SN Business & Economics. RePEc:spr:snbeco:v:1:y:2021:i:6:d:10.1007_s43546-021-00084-3.

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2020Climate change and coffee farm relocation in Ethiopia: a real-options approach. (2020). Ginbo, Tsegaye ; di Corato, Luca. In: Working Papers. RePEc:ven:wpaper:2020:02.

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2021Equity return predictability, its determinants, and profitable trading strategies. (2021). Uddin, Gazi ; Rahman, Md Lutfur ; Vigne, Samuel A ; Khan, Mahbub. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:1:p:162-186.

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Works by Tony S. Wirjanto:

YearTitleTypeCited
1994A Further Analysis of Exchange Rate Targeting in Canada In: Staff Working Papers.
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1994A Further Analysis of Exchange Rate Targeting in Canada.(1994) In: Econometrics.
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1994The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation In: Staff Working Papers.
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1994The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation.(1994) In: Econometrics.
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1994An Empirical Investigation into Government Spending and Private Sector Behaviour In: Staff Working Papers.
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1995An Empirical Investigation into Government Spending and Private Sector Behaviour.(1995) In: Macroeconomics.
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2000On the Stability of Long-Run M2 Demand in Japan In: The Japanese Economic Review.
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2010Testing the Stochastic Implications of the Permanent Income Hypothesis Using Canadian Provincial Data* In: Oxford Bulletin of Economics and Statistics.
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2005A stylized exchange rate pass?through model of crude oil price formation In: OPEC Energy Review.
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1991Testing the Permanent Income Hypothesis: The Evidence from Canadian Data. In: Canadian Journal of Economics.
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1989Testing the Permanent Income Hypothesis: The Evidence from Canadian Data..(1989) In: Working Paper.
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1995Aggregate Consumption Behaviour and Liquidity Constraints: The Canadian Evidence. In: Canadian Journal of Economics.
[Citation analysis]		article15
1993Aggregate Consumption Behavior and Liquidity Constraints: The Canadian Evidence..(1993) In: Working Papers.
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1999Does More Mean Less? The Male/Female Wage Gap and the Proportion of Females at the Establishment Level In: Canadian Journal of Economics.
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1998Does More Mean Less? The Male/Female Wage Gap and the Proportion of Female at the Establishment Level..(1998) In: Centre for Labour Market and Social Research, Danmark-.
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1997Does More Mean Less? The Male/Female Wage Gap and the Proportion of Females at the Establishment Level.(1997) In: Working Papers.
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1999The Proportion of Females in the Establishment: Discrimination, Preferences and Technology In: Canadian Public Policy.
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2004The Proportion of Females in the Establishment: Discrimination, Preferences and Technology.(2004) In: Labor and Demography.
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1999Intraperiod and Intertemporal Substitution in Import Demand In: Cahiers de recherche CREFE / CREFE Working Papers.
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2009Do Chinese publicly listed companies adjust their capital structure toward a target level? In: China Economic Review.
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2012Inference about clustering and parametric assumptions in covariance matrix estimation In: Computational Statistics & Data Analysis.
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2010Inference about Clustering and Parametric Assumptions in Covariance Matrix Estimation.(2010) In: Working Papers.
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1990Seasonal unit-root tests on Canadian macroeconomic time series In: Economics Letters.
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2008The impact of sales taxation on internet commerce -- An empirical analysis In: Economics Letters.
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1993The effect of sampling error on the time series behavior of consumption data In: Journal of Econometrics.
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2003Exchange rate of the US dollar and the J curve: the case of oil exporting countries In: Energy Economics.
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2004The empirical role of the exchange rate on the crude-oil price formation In: Energy Economics.
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2007An analytic approximation formula for pricing zero-coupon bonds In: Finance Research Letters.
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2008Modeling the leverage effect with copulas and realized volatility In: Finance Research Letters.
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2009Extreme return-volume dependence in East-Asian stock markets: A copula approach In: Finance Research Letters.
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2008Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach.(2008) In: Working Papers.
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2009Empirical tests of the float-adjusted return model In: Finance Research Letters.
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2010Contrasting two approaches in real options valuation: Contingent claims versus dynamic programming In: Journal of Forest Economics.
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2008Contrasting two approaches in real options valuation: contingent claims versus dynamic programming.(2008) In: Working Papers.
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1996Intertemporal substitution, imports and the permanent income model In: Journal of International Economics.
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2012Do foreigners facilitate information transmission in emerging markets? In: Journal of Financial Economics.
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1997Adjustment costs and import demand behavior: evidence from Canada and the United States In: Journal of International Money and Finance.
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1997An Empirical Study of Dynamic Labor Demand with Integrated Forcing Processes In: Journal of Macroeconomics.
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1996The limiting distributions of unit-root tests for data with cross-sectional and time-series dimensions In: Statistics & Probability Letters.
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1996Money Stock Targeting and Money Supply: A Closer Examination of the Data. In: Journal of Applied Econometrics.
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1993Money Stock Targetting and Money Supply: A Closer Examination of the Data..(1993) In: Working Papers.
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1998On the Efficiency of Conditional Heteroskedasticity Models. In: Review of Quantitative Finance and Accounting.
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1998Re-examining Variance-Bounds Tests for Asset Prices. In: Review of Quantitative Finance and Accounting.
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2004A Direct Test of the Permanent Income Hypothesis with an Application to the U.S. States. In: Journal of Money, Credit and Banking.
[Citation analysis]		article12
2003A Direct Test of the Permanent Income Hypothesis with an Application to the US States..(2003) In: Working Papers.
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2011Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach In: Journal of Financial Econometrics.
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2008Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach.(2008) In: Working Papers.
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1989National Savings and Domestic Investment in the Long Run: Some Time Series Evidence for the U.S. and Canada In: Working Paper.
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1998Government Expenditures and the Permanent-Income Model In: Review of Economic Dynamics.
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1997Government Expenditures and the Permanent-Income Model.(1997) In: Working Papers.
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2013Bayesian Inference of Asymmetric Stochastic Conditional Duration Models In: Working Paper series.
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2013Stochastic Conditional Duration Models with Mixture Processes In: Working Paper series.
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2013A Threshold Stochastic Conditional Duration Model for Financial Transaction Data In: Working Paper series.
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2013Uncertainty, Unemployment Insurance, Individuals Optimal Stopping Time and Duration of Unemployment In: Working Paper series.
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2013Pricing Financial Derivatives by Gram-Charlier Expansions In: Working Paper series.
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2013The Impacts of Financial Crisis on Sovereign Credit Risk Analysis in Asia and Europe In: Working Paper series.
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2013Bayesian Inference of Multiscale Stochastic Conditional Duration Models In: Working Paper series.
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2009Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data In: Working Papers.
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2010Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data.(2010) In: Working Papers.
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2006Testing the permanent-income hypothesis: new evidence from West-German states ( Länder) In: Empirical Economics.
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1997Aggregate consumption behaviour with time-nonseparable preferences and liquidity constraints In: Applied Financial Economics.
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2004Exploring consumption-based asset pricing model with stochastic-trend forcing processes In: Applied Economics.
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1997Intratemporal Substitution And Government Spending In: The Review of Economics and Statistics.
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2008An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility In: Working Papers.
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2008Time-Deformation Modeling Of Stock Returns Directed By Duration Processes In: Working Papers.
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2008A Simple Model of the Nominal Term Structure of Interest Rates In: Working Papers.
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2008Re-examining Accounting Conservatism: The Importance of Adjusting for Firm Heterogeneity In: Working Papers.
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2008IT Innovation Persistence and State Dependence: An Empirical Investigation In: Working Papers.
[Citation analysis]		paper0
2011The Impact of Stochastic Convenience Yield on Long-term Forestry Investment Decisions In: Working Papers.
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1993The Consequences of Specification errors for Sample- selection Model. In: Working Papers.
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1993A Unified Framework for Estimation od a Sur Model in Accounting Information. In: Working Papers.
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1993The Dynamic Demand for Money in Germany, Japan and the United Kingdom. In: Working Papers.
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1993The GMM Estimation of Conditional Heteroskedasticity Models. In: Working Papers.
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2010Estimating the impacts of cigarette taxes on youth smoking participation, initiation, and persistence: empirical evidence from Canada In: Health Economics.
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