Prof. Tony S. Wirjanto

University of Waterloo, Canada

Email: twirjant@uwaterloo.ca

Qualifications

1993 Ph.D., Queen's University, Econometrics

1987 M.Sc., Queen's University, Econometrics

1982 B.Sc., University of Toronto, Economics and Statistics

Publications (Selected)

1. Chen, J., Feng, M., & Wirjanto, T. S. (2025, April). Harnessing contrastive learning and neural transformation for time series anomaly detection. In ICASSP 2025-2025 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) (pp. 1-5). IEEE.
2. Chen, J., Fu, S., Zhang, Z., Ma, Z., Feng, M., Wirjanto, T. S., & Peng, Q. (2024). Towards Cross-domain Few-shot Graph Anomaly Detection. arXiv preprint arXiv:2410.08629.
3. Zhang, J., Tan, K. S., Wirjanto, T. S., & Porth, L. (2024). Joint Liability Model with Adaptation to Climate Change. arXiv preprint arXiv:2404.13818.
4. Fang, M., Tan, K. S., & Wirjanto, T. S. (2024). Valuation of carbon emission allowance options under an open trading phase. Energy Economics, 131, 107351.
5. Rice, G., Wirjanto, T., & Zhao, Y. (2023). Exploring volatility of crude oil intraday return curves: A functional GARCH-X model. Journal of Commodity Markets, 32, 100361.
6. Diao, L., Meng, Y., Weng, C., & Wirjanto, T. (2023). Enhancing Mortality Forecasting through Bivariate Model–Based Ensemble. North American Actuarial Journal, 27(4), 751-770.
7. Cao, H., & Wirjanto, T. S. (2023). ESG information integration into portfolio optimisation. Journal of Risk Management in Financial Institutions, 16(2), 158-179.
8. Cao, H., & Wirjanto, T. S. (2023). ESG information integration into portfolio optimisation. Journal of Risk Management in Financial Institutions, 16(2), 158-179.
9. Chen, K., Feng, M., & Wirjanto, T. S. (2023). Multivariate time series anomaly detection via dynamic graph forecasting. arXiv preprint arXiv:2302.02051.
10. Wang, D., Ding, J., Chu, G., Xu, D., & Wirjanto, T. S. (2021). Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution: evidence from China. Applied Economics, 53(7), 781-804.
11. Rice, G., Wirjanto, T., & Zhao, Y. (2020). Tests for conditional heteroscedasticity of functional data. Journal of Time Series Analysis, 41(6), 733-758.
12. Rice, G., Wirjanto, T., & Zhao, Y. (2020). Forecasting value at risk with intra-day return curves. International journal of forecasting, 36(3), 1023-1038.
13. Men, Z., Kolkiewicz, A. W., & Wirjanto, T. S. (2019). Threshold stochastic conditional duration model for financial transaction data. Journal of Risk and Financial Management, 12(2), 88.
14. Rice, G., Wirjanto, T., & Zhao, Y. (2019). Tests for conditional heteroscedasticity with functional data and goodness-of-fit tests for FGARCH models.
15. Fang, M., Tan, K. S., & Wirjanto, T. S. (2019). Sustainable portfolio management under climate change. Journal of Sustainable Finance & Investment, 9(1), 45-67.
16. Guo, D., Weng, C., & Wirjanto, T. S. (2018). Sample eigenvalues adjustment for portfolio performance improvement under factor models. Available at SSRN 2959808.
17. Andrews, D., Oberoi, J., Wirjanto, T., & Zhou, C. (2018). Demography and inflation: An international study. North American Actuarial Journal, 22(2), 210-222.
18. Guo, D., Boyle, P. P., Weng, C., & Wirjanto, T. S. (2018). Eigen portfolio selection: A robust approach to sharpe ratio maximization. Available at SSRN 3070416.
19. Guo, D., Boyle, P. P., Weng, C., & Wirjanto, T. S. (2018). Eigen portfolio selection: A robust approach to sharpe ratio maximization. Available at SSRN 3070416.
20. Hofert, M., Memartoluie, A., Saunders, D., & Wirjanto, T. (2017). Improved algorithms for computing worst Value-at-Risk. Statistics & Risk Modeling, 34(1-2), 13-31.
21. Memartoluie, A., Saunders, D., & Wirjanto, T. (2017). Wrong-way risk bounds in counterparty credit risk management. Journal of Risk Management in Financial Institutions, 10(2), 150-163.
22. Bandyopadhyay, S. P., Huang, A. G., Sun, K. J., & Wirjanto, T. S. (2017). The return premiums to accruals quality. Review of Quantitative Finance and Accounting, 48, 83-115.

Profile Details

WoS Researcher: IDDZE-9831-2022

https://orcid.org/0000-0003-1324-9131

https://uwaterloo.ca/statistics-and-actuarial-science/profiles/tony-wirjanto

https://scholar.google.com.hk/citations?user=Rt3jpBUAAAAJ&hl=zh-CN&oi=sra

https://www.researchgate.net/profile/Tony-Wirjanto