EconPapers    
Economics at your fingertips  
 

Details about John L. Knight

This author is deceased.

Access statistics for papers by John L. Knight.

Last updated 2020-03-20. Update your information in the RePEc Author Service.

Short-id: pkn27


Jump to Journal Articles Books Edited books

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 Downloads
  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 Downloads
  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 Downloads

2008

  1. Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"
    Working Papers, University of Waterloo, Department of Economics Downloads View citations (3)
    See also Journal Article in Journal of Financial Econometrics (2011)
  2. Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters
    Working Papers, University of Waterloo, Department of Economics Downloads View citations (1)
    See also Journal Article in Econometric Reviews (2011)

2005

  1. Diversification When It Hurts? The Joint Distributions of Property and Other Asset Classes
    ERES, European Real Estate Society (ERES) Downloads View citations (7)
  2. Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets
    Real Estate & Planning Working Papers, Henley Business School, Reading University Downloads View citations (25)
  3. Exact Properties of Measures of Optimal Investment for Institutional Investors
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads

1999

  1. Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
    Working Papers, Department of Economics, The University of Auckland Downloads
  2. Empirical Characteristic Function in Time Series Estimation
    Working Papers, Department of Economics, The University of Auckland Downloads
    See also Journal Article in Econometric Theory (2002)
  3. Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model
    Staff Working Papers, Bank of Canada Downloads View citations (5)
  4. 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 Downloads
    See also Journal Article in Journal of Economics and Finance (2008)

1995

  1. Estimation of Stationary Stochastic Processes via the Empirical Characteristic Function
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
  2. Statistical Modeling of Asymetric Risk in Asset Returns
    Working Papers, Saskatchewan - Department of Economics View citations (16)
    See also Journal Article in Applied Mathematical Finance (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 Downloads View citations (4)

2013

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

2011

  1. Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach
    Journal of Financial Econometrics, 2011, 9, (3), 469-488 Downloads View citations (6)
    See also Working Paper (2008)
  2. Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters
    Econometric Reviews, 2011, 30, (1), 25-50 Downloads View citations (3)
    See also Working Paper (2008)
  3. Large deviations theorems for optimal investment problems with large portfolios
    European Journal of Operational Research, 2011, 211, (3), 533-555 Downloads View citations (2)
  4. Some New Results for Threshold AR(1) Models
    Journal of Time Series Econometrics, 2011, 3, (2), 1-42 Downloads View citations (7)

2010

  1. ECF estimation of Markov models where the transition density is unknown
    Econometrics Journal, 2010, 13, (2), 245-270 Downloads View citations (2)
  2. Exact properties of measures of optimal investment for benchmarked portfolios
    Quantitative Finance, 2010, 10, (5), 495-502 Downloads View citations (4)

2008

  1. Estimation of the stochastic conditional duration model via alternative methods
    Econometrics Journal, 2008, 11, (3), 593-616 Downloads View citations (12)
  2. Testing for infinite order stochastic dominance with applications to finance, risk and income inequality
    Journal of Economics and Finance, 2008, 32, (1), 35-46 Downloads View citations (1)
    See also Working Paper (1999)

2006

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

2005

  1. A Re-Examination of Sharpe's Ratio for Log-Normal Prices
    Applied Mathematical Finance, 2005, 12, (1), 87-100 Downloads View citations (1)
  2. Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets1
    Journal of Property Research, 2005, 22, (4), 309-323 Downloads View citations (18)

2003

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

2002

  1. EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
    Econometric Theory, 2002, 18, (3), 691-721 Downloads View citations (29)
    See also Working Paper (1999)
  2. Estimation of Continuous-Time Processes via the Empirical Characteristic Function
    Journal of Business & Economic Statistics, 2002, 20, (2), 198-212 View citations (57)
  3. 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 Downloads View citations (16)

2001

  1. A NOTE ON BAYESIAN INFERENCE IN ASSET PRICING
    Econometric Theory, 2001, 17, (2), 475-482 Downloads
  2. Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions
    Annals of Economics and Finance, 2001, 2, (1), 187-213 Downloads View citations (6)

1998

  1. 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 Downloads View citations (1)

1997

  1. 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 Downloads View citations (63)
  2. Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios
    Econometric Theory, 1997, 13, (6), 791-807 Downloads View citations (7)
  3. The Cumulant Generating Function Estimation Method
    Econometric Theory, 1997, 13, (2), 170-184 Downloads View citations (8)

1995

  1. Statistical modelling of asymmetric risk in asset returns
    Applied Mathematical Finance, 1995, 2, (3), 155-172 Downloads View citations (15)
    See also Working Paper (1995)
  2. 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 Downloads View citations (1)

1994

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

1993

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

1986

  1. Non-Normal Errors and the Distribution of OLS and 2SLS Structural Estimators
    Econometric Theory, 1986, 2, (1), 75-106 Downloads View citations (2)
  2. The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances
    Econometric Theory, 1986, 2, (2), 202-219 Downloads View citations (1)

1985

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

1984

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

1982

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

1980

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

1977

  1. 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 Downloads View citations (2)

Books

2007

  1. Forecasting Volatility in the Financial Markets
    Elsevier Monographs, Elsevier Downloads View citations (7)

2000

  1. Return Distributions in Finance
    Elsevier Monographs, Elsevier Downloads

Edited books

2004

  1. Linear Factor Models in Finance
    Elsevier Monographs, Elsevier Downloads

2002

  1. Performance Measurement in Finance
    Elsevier Monographs, Elsevier Downloads View citations (1)
 
Page updated 2020-12-03