Details about John L. Knight

This author is deceased.

Access statistics for papers by John L. Knight.

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Short-id: pkn27

Working Papers

2012

1. Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models
   Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics
2. 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
3. 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

4. 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)
5. 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

6. Diversification When It Hurts? The Joint Distributions of Property and Other Asset Classes
   ERES, European Real Estate Society (ERES) View citations (12)
7. 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)
8. Exact Properties of Measures of Optimal Investment for Institutional Investors
   Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics

1999

9. Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
   Working Papers, Department of Economics, The University of Auckland
10. 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)
11. Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model
    Staff Working Papers, Bank of Canada View citations (5)
12. 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

13. Estimation of Stationary Stochastic Processes via the Empirical Characteristic Function
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
14. 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

1. Steady state distributions for models of locally explosive regimes: Existence and econometric implications
   Economic Modelling, 2014, 41, (C), 281-288 View citations (4)

2013

2. Stochastic volatility model under a discrete mixture-of-normal specification
   Journal of Economics and Finance, 2013, 37, (2), 216-239

2011

3. 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)
4. 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)
5. Large deviations theorems for optimal investment problems with large portfolios
   European Journal of Operational Research, 2011, 211, (3), 533-555 View citations (2)
6. Some New Results for Threshold AR(1) Models
   Journal of Time Series Econometrics, 2011, 3, (2), 42 View citations (7)

2010

7. ECF estimation of Markov models where the transition density is unknown
   Econometrics Journal, 2010, 13, (2), 245-270 View citations (3)
8. Exact properties of measures of optimal investment for benchmarked portfolios
   Quantitative Finance, 2010, 10, (5), 495-502 View citations (5)

2008

9. Estimation of the stochastic conditional duration model via alternative methods
   Econometrics Journal, 2008, 11, (3), 593-616 View citations (15)
10. 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

11. A Semiparametric Two-Factor Term Structure Model
    Journal of Financial Econometrics, 2006, 4, (2), 204-237 View citations (1)

2005

12. A Re-Examination of Sharpe's Ratio for Log-Normal Prices
    Applied Mathematical Finance, 2005, 12, (1), 87-100 View citations (3)
13. 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

14. Value at risk linear exponent (VARLINEX) forecasts
    Quantitative Finance, 2003, 3, (4), 332-344 View citations (2)

2002

15. 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)
16. Estimation of Continuous-Time Processes via the Empirical Characteristic Function
    Journal of Business & Economic Statistics, 2002, 20, (2), 198-212 View citations (72)
17. 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

18. A NOTE ON BAYESIAN INFERENCE IN ASSET PRICING
    Econometric Theory, 2001, 17, (2), 475-482
19. Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions
    Annals of Economics and Finance, 2001, 2, (1), 187-213 View citations (8)

1998

20. 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

21. 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)
22. 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)
23. The Cumulant Generating Function Estimation Method
    Econometric Theory, 1997, 13, (2), 170-184 View citations (9)

1995

24. 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)
25. 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

26. Some Exact Distribution Results for the Partially Restricted Reduced form Estimator
    Econometric Theory, 1994, 10, (1), 140-171 View citations (1)

1993

27. Asymptotic Expansions for Random Walks with Normal Errors
    Econometric Theory, 1993, 9, (3), 363-376 View citations (6)
28. Exact critical regions and confidence intervals for maximum likelihood estimators in the exponential regression model
    Economics Letters, 1993, 41, (3), 225-229

1986

29. Non-Normal Errors and the Distribution of OLS and 2SLS Structural Estimators
    Econometric Theory, 1986, 2, (1), 75-106 View citations (2)
30. 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

31. The moments of ols and 2sls when the disturbances are non-normal
    Journal of Econometrics, 1985, 27, (1), 39-60 View citations (3)

1984

32. Asymptotic Distribution of Dynamic Multipliers in Dynamic Autoregressive Models
    Econometrica, 1984, 52, (1), 217-22

1982

33. A note on finite sample analysis of misspecification in simultaneous equation models
    Economics Letters, 1982, 9, (3), 275-279 View citations (2)
34. 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

35. The coefficient of determination and simultaneous equation systems
    Journal of Econometrics, 1980, 14, (2), 265-270 View citations (3)

1977

36. 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)

Undated

37. Finite sample comparison of alternative estimators of Itô diffusion processes: a Monte Carlo study
    Journal of Computational Finance
38. Using approximate results for validating value-at-risk
    Journal of Risk Model Validation

Books

2007

1. Forecasting Volatility in the Financial Markets
   Elsevier Monographs, Elsevier View citations (30)

2000

2. Return Distributions in Finance
   Elsevier Monographs, Elsevier View citations (10)

Edited books

2004

1. Linear Factor Models in Finance
   Elsevier Monographs, Elsevier

2002

2. Performance Measurement in Finance
   Elsevier Monographs, Elsevier View citations (1)