Details about John L. Knight
This author is deceased. Access statistics for papers by John L. Knight.
Last updated 2023-03-10. Update your information in the RePEc Author Service.
Short-id: pkn27
Jump to Journal Articles Books Edited books
Working Papers
2012
- Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models
Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics
- Steady-State Distributions for Models of Bubbles: their Existence and Econometric Implications
Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics
- The Properties of Double-Blind Dutch Auctions in a Clearing House; Some New Results for the Mendelson Model
Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics
2008
- Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"
Working Papers, University of Waterloo, Department of Economics View citations (3)
See also Journal Article Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach, Journal of Financial Econometrics, Oxford University Press (2011) View citations (6) (2011)
- Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters
Working Papers, University of Waterloo, Department of Economics View citations (1)
See also Journal Article Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters, Econometric Reviews, Taylor & Francis Journals (2011) View citations (3) (2011)
2005
- Diversification When It Hurts? The Joint Distributions of Property and Other Asset Classes
ERES, European Real Estate Society (ERES) View citations (12)
- Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets
Real Estate & Planning Working Papers, Henley Business School, University of Reading View citations (32)
- Exact Properties of Measures of Optimal Investment for Institutional Investors
Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics
1999
- Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
Working Papers, Department of Economics, The University of Auckland
- Empirical Characteristic Function in Time Series Estimation
Working Papers, Department of Economics, The University of Auckland View citations (1)
See also Journal Article EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION, Econometric Theory, Cambridge University Press (2002) View citations (41) (2002)
- Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model
Staff Working Papers, Bank of Canada View citations (5)
- Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 
See also Journal Article Testing for infinite order stochastic dominance with applications to finance, risk and income inequality, Journal of Economics and Finance, Springer (2008) View citations (3) (2008)
1995
- Estimation of Stationary Stochastic Processes via the Empirical Characteristic Function
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
- Statistical Modeling of Asymetric Risk in Asset Returns
Working Papers, Saskatchewan - Department of Economics View citations (16)
See also Journal Article Statistical modelling of asymmetric risk in asset returns, Applied Mathematical Finance, Taylor & Francis Journals (1995) View citations (17) (1995)
Journal Articles
2014
- Steady state distributions for models of locally explosive regimes: Existence and econometric implications
Economic Modelling, 2014, 41, (C), 281-288 View citations (4)
2013
- Stochastic volatility model under a discrete mixture-of-normal specification
Journal of Economics and Finance, 2013, 37, (2), 216-239
2011
- Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach
Journal of Financial Econometrics, 2011, 9, (3), 469-488 View citations (6)
See also Working Paper Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach", Working Papers (2008) View citations (3) (2008)
- Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters
Econometric Reviews, 2011, 30, (1), 25-50 View citations (3)
See also Working Paper Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters, Working Papers (2008) View citations (1) (2008)
- Large deviations theorems for optimal investment problems with large portfolios
European Journal of Operational Research, 2011, 211, (3), 533-555 View citations (2)
- Some New Results for Threshold AR(1) Models
Journal of Time Series Econometrics, 2011, 3, (2), 42 View citations (7)
2010
- ECF estimation of Markov models where the transition density is unknown
Econometrics Journal, 2010, 13, (2), 245-270 View citations (3)
- Exact properties of measures of optimal investment for benchmarked portfolios
Quantitative Finance, 2010, 10, (5), 495-502 View citations (5)
2008
- Estimation of the stochastic conditional duration model via alternative methods
Econometrics Journal, 2008, 11, (3), 593-616 View citations (15)
- Testing for infinite order stochastic dominance with applications to finance, risk and income inequality
Journal of Economics and Finance, 2008, 32, (1), 35-46 View citations (3)
See also Working Paper Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality, Cambridge Working Papers in Economics (1999) (1999)
2006
- A Semiparametric Two-Factor Term Structure Model
Journal of Financial Econometrics, 2006, 4, (2), 204-237 View citations (1)
2005
- A Re-Examination of Sharpe's Ratio for Log-Normal Prices
Applied Mathematical Finance, 2005, 12, (1), 87-100 View citations (3)
- Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets1
Journal of Property Research, 2005, 22, (4), 309-323 View citations (24)
2003
- Value at risk linear exponent (VARLINEX) forecasts
Quantitative Finance, 2003, 3, (4), 332-344 View citations (2)
2002
- EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
Econometric Theory, 2002, 18, (3), 691-721 View citations (41)
See also Working Paper Empirical Characteristic Function in Time Series Estimation, Working Papers (1999) View citations (1) (1999)
- Estimation of Continuous-Time Processes via the Empirical Characteristic Function
Journal of Business & Economic Statistics, 2002, 20, (2), 198-212 View citations (72)
- Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
Australian & New Zealand Journal of Statistics, 2002, 44, (3), 319-335 View citations (20)
2001
- A NOTE ON BAYESIAN INFERENCE IN ASSET PRICING
Econometric Theory, 2001, 17, (2), 475-482
- Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions
Annals of Economics and Finance, 2001, 2, (1), 187-213 View citations (8)
1998
- Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors
Econometric Reviews, 1998, 17, (4), 387-413 View citations (2)
1997
- A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model
Econometric Theory, 1997, 13, (5), 615-645 View citations (95)
- Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios
Econometric Theory, 1997, 13, (6), 791-807 View citations (8)
- The Cumulant Generating Function Estimation Method
Econometric Theory, 1997, 13, (2), 170-184 View citations (9)
1995
- Statistical modelling of asymmetric risk in asset returns
Applied Mathematical Finance, 1995, 2, (3), 155-172 View citations (17)
See also Working Paper Statistical Modeling of Asymetric Risk in Asset Returns, Working Papers (1995) View citations (16) (1995)
- The exact distribution of the OLS and GLS estimators in regression with an integrated regressor and correlated errors — comparison of numerical and Monte Carlo integration
Mathematics and Computers in Simulation (MATCOM), 1995, 39, (3), 273-277 View citations (1)
1994
- Some Exact Distribution Results for the Partially Restricted Reduced form Estimator
Econometric Theory, 1994, 10, (1), 140-171 View citations (1)
1993
- Asymptotic Expansions for Random Walks with Normal Errors
Econometric Theory, 1993, 9, (3), 363-376 View citations (6)
- Exact critical regions and confidence intervals for maximum likelihood estimators in the exponential regression model
Economics Letters, 1993, 41, (3), 225-229
1986
- Non-Normal Errors and the Distribution of OLS and 2SLS Structural Estimators
Econometric Theory, 1986, 2, (1), 75-106 View citations (2)
- The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances
Econometric Theory, 1986, 2, (2), 202-219 View citations (1)
1985
- The moments of ols and 2sls when the disturbances are non-normal
Journal of Econometrics, 1985, 27, (1), 39-60 View citations (3)
1984
- Asymptotic Distribution of Dynamic Multipliers in Dynamic Autoregressive Models
Econometrica, 1984, 52, (1), 217-22
1982
- A note on finite sample analysis of misspecification in simultaneous equation models
Economics Letters, 1982, 9, (3), 275-279 View citations (2)
- Asymptotic Distribution of Restricted Reduced Forms and Dynamic Multipliers in a Linear Dynamic Model with Vector Autoregressive Errors
International Economic Review, 1982, 23, (3), 553-63
1980
- The coefficient of determination and simultaneous equation systems
Journal of Econometrics, 1980, 14, (2), 265-270 View citations (3)
1977
- On the existence of moments of the partially restricted reduced-form estimators from a simultaneous-equation model
Journal of Econometrics, 1977, 5, (3), 315-321 View citations (2)
Books
2007
- Forecasting Volatility in the Financial Markets
Elsevier Monographs, Elsevier View citations (30)
2000
- Return Distributions in Finance
Elsevier Monographs, Elsevier View citations (10)
Edited books
2004
- Linear Factor Models in Finance
Elsevier Monographs, Elsevier
2002
- Performance Measurement in Finance
Elsevier Monographs, Elsevier View citations (1)
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact econpapers@oru.se if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|