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John L. Knight

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Personal Details

First Name:John
Middle Name:L.
Last Name:Knight
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RePEc Short-ID:pkn27
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Location: London, Canada
Homepage: http://economics.uwo.ca/
Email:
Phone: (519) 661-3500
Fax: (519) 661-3666
Postal: Faculty of Social Sciences, London, Ontario, N6A 5C2
Handle: RePEc:edi:deuwoca (more details at EDIRC)
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  1. John Knight & Stephen Satchell & Jessica Zhang, 2012. "Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models," Birkbeck Working Papers in Economics and Finance 1213, Birkbeck, Department of Economics, Mathematics & Statistics.
  2. John Knight & Stephen Satchell & Nandini Srivastava, 2012. "Steady-State Distributions for Models of Bubbles: their Existence and Econometric Implications," Birkbeck Working Papers in Economics and Finance 1208, Birkbeck, Department of Economics, Mathematics & Statistics.
  3. John Knight & S.E. Satchell, 2012. "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 1201, Birkbeck, Department of Economics, Mathematics & Statistics.
  4. Dinghai Xu & John Knight & Tony S. Wirjanto, 2008. "Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"," Working Papers 08007, University of Waterloo, Department of Economics.
  5. Dinghai Xu & John Knight, 2008. "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters," Working Papers 08006, University of Waterloo, Department of Economics.
  6. Stephen Satchell & John Knight & Ba Chu, 2006. "Optimal Investment and Asymmetric Risk for a Large Portfolio: A Large Deviations Approach," Working Papers wp06-06, Warwick Business School, Finance Group.
  7. John Knight & Stephen Satchell, 2005. "Exact Properties of Measures of Optimal Investment for Institutional Investors," Birkbeck Working Papers in Economics and Finance 0513, Birkbeck, Department of Economics, Mathematics & Statistics.
  8. Knight, John & Lizieri, Colin & Satchell, Stephen, 2005. "Diversification When It Hurts? The Joint Distributions of Property and Other Asset Classes," ERES eres2005_228, European Real Estate Society (ERES).
  9. John Knight & Colin Lizieri & Stephen Satchell, 2005. "Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets," Real Estate & Planning Working Papers rep-wp2005-16, Henley Business School, Reading University.
  10. Knight, J. & Satchell, S., 1999. "Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality," Cambridge Working Papers in Economics 9911, Faculty of Economics, University of Cambridge.
  11. Stephen Satchell & John Knight & Soosung Hwang, 1999. "Forecasting Volatility using LINEX Loss Functions," Working Papers wp99-20, Warwick Business School, Finance Group.
  12. Knight, John & Li, Fuchun & Yuan, Mingwei, 1999. "Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model," Working Papers 99-19, Bank of Canada.
  13. Knight,J.L. & Satchell,S.E., 1995. "Estimation of Stationary Stochastic Processes via the Empirical Characteristic Function," Cambridge Working Papers in Economics 9411, Faculty of Economics, University of Cambridge.
  14. Knight, J.L. & Stachell, S.E. & Tran, K.C., 1995. "Statistical Modeling of Asymetric Risk in Asset Returns," Papers 95-3, Saskatchewan - Department of Economics.
  1. Knight, John & Satchell, Stephen & Srivastava, Nandini, 2014. "Steady state distributions for models of locally explosive regimes: Existence and econometric implications," Economic Modelling, Elsevier, vol. 41(C), pages 281-288.
  2. Dinghai Xu & John Knight, 2013. "Stochastic volatility model under a discrete mixture-of-normal specification," Journal of Economics and Finance, Springer, vol. 37(2), pages 216-239, April.
  3. Knight John & Satchell Stephen, 2011. "Some New Results for Threshold AR(1) Models," Journal of Time Series Econometrics, De Gruyter, vol. 3(2), pages 1-42, April.
  4. Dinghai Xu & John Knight, 2011. "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters," Econometric Reviews, Taylor & Francis Journals, vol. 30(1), pages 25-50.
  5. Dinghai Xu & John Knight & Tony S. Wirjanto, 2011. "Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(3), pages 469-488, Summer.
  6. Chu, Ba & Knight, John & Satchell, Stephen, 2011. "Large deviations theorems for optimal investment problems with large portfolios," European Journal of Operational Research, Elsevier, vol. 211(3), pages 533-555, June.
  7. George J. Jiang & John L. Knight, 2010. "ECF estimation of Markov models where the transition density is unknown," Econometrics Journal, Royal Economic Society, vol. 13(2), pages 245-270, 07.
  8. J. Knight & S. E. Satchell, 2010. "Exact properties of measures of optimal investment for benchmarked portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 495-502.
  9. John Knight & Cathy Q. Ning, 2008. "Estimation of the stochastic conditional duration model via alternative methods," Econometrics Journal, Royal Economic Society, vol. 11(3), pages 593-616, November.
  10. John Knight & Stephen Satchell, 2008. "Testing for infinite order stochastic dominance with applications to finance, risk and income inequality," Journal of Economics and Finance, Springer, vol. 32(1), pages 35-46, January.
  11. John Knight & Fuchun Li & Mingwei Yuan, 2006. "A Semiparametric Two-Factor Term Structure Model," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 204-237.
  12. John Knight & Colin Lizieri & Stephen Satchell, 2005. "Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets1," Journal of Property Research, Taylor & Francis Journals, vol. 22(4), pages 309-323, December.
  13. John Knight & Stephen Satchell, 2005. "A Re-Examination of Sharpe's Ratio for Log-Normal Prices," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 87-100.
  14. John Knight & Stephen Satchell & Guoqiang Wang, 2003. "Value at risk linear exponent (VARLINEX) forecasts," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 332-344.
  15. Knight, John L. & Yu, Jun, 2002. "Empirical Characteristic Function In Time Series Estimation," Econometric Theory, Cambridge University Press, vol. 18(03), pages 691-721, June.
  16. Jiang, George J & Knight, John L, 2002. "Estimation of Continuous-Time Processes via the Empirical Characteristic Function," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 198-212, April.
  17. John L. Knight & Stephen E. Satchell & Jun Yu, 2002. "Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method," Australian & New Zealand Journal of Statistics, Australian Statistical Publishing Association Inc., vol. 44(3), pages 319-335, 09.
  18. Knight, J.L. & Satchell, S.E., 2001. "A Note On Bayesian Inference In Asset Pricing," Econometric Theory, Cambridge University Press, vol. 17(02), pages 475-482, April.
  19. Soosung Hwang & John Knight & Stephen E. Satchell, 2001. "Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions," Annals of Economics and Finance, Society for AEF, vol. 2(1), pages 187-213, May.
  20. K. Maekawa & J. L. Knight & H. Hisamatsu, 1998. "Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors," Econometric Reviews, Taylor & Francis Journals, vol. 17(4), pages 387-413.
  21. Jiang, George J. & Knight, John L., 1997. "A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model," Econometric Theory, Cambridge University Press, vol. 13(05), pages 615-645, October.
  22. Knight, John L & Satchell, Stephen E., 1997. "Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios," Econometric Theory, Cambridge University Press, vol. 13(06), pages 791-807, December.
  23. Knight, John L. & Satchell, Stephen E., 1997. "The Cumulant Generating Function Estimation Method," Econometric Theory, Cambridge University Press, vol. 13(02), pages 170-184, April.
  24. Knight, John L. & Satchel, Stephen E., 1995. "An Approximation to GARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 191-192, February.
  25. Hisamatsu, H. & Knight, J.L. & Maekawa, K., 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), Elsevier, vol. 39(3), pages 273-277.
  26. J. L. Knight & S. E. Satchell & K. C. Tran, 1995. "Statistical modelling of asymmetric risk in asset returns," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 155-172.
  27. Kinal, Terrence W. & Knight, John L., 1994. "Some Exact Distribution Results for the Partially Restricted Reduced form Estimator," Econometric Theory, Cambridge University Press, vol. 10(01), pages 140-171, March.
  28. Knight, John L. & Satchel, Stephen E., 1993. "Exact critical regions and confidence intervals for maximum likelihood estimators in the exponential regression model," Economics Letters, Elsevier, vol. 41(3), pages 225-229.
  29. Knight, J.L. & Satchell, S.E., 1993. "Asymptotic Expansions for Random Walks with Normal Errors," Econometric Theory, Cambridge University Press, vol. 9(03), pages 363-376, June.
  30. Knight, J.L. & Satchell, S.E., 1990. "Random Variable Generation via Double Sampling," Econometric Theory, Cambridge University Press, vol. 6(04), pages 487-488, December.
  31. Knight, John L., 1986. "Efficient Reduced Form Estimation via OLS," Econometric Theory, Cambridge University Press, vol. 2(03), pages 448-449, December.
  32. Knight, John. L., 1986. "The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances," Econometric Theory, Cambridge University Press, vol. 2(02), pages 202-219, August.
  33. Knight, John L., 1986. "A Non-normal Limiting Distribution," Econometric Theory, Cambridge University Press, vol. 2(02), pages 300-303, August.
  34. Knight, John L., 1986. "Non-Normal Errors and the Distribution of OLS and 2SLS Structural Estimators," Econometric Theory, Cambridge University Press, vol. 2(01), pages 75-106, April.
  35. Knight, John L., 1986. "Moments of OLS and 2SLS via Fractional Calculus," Econometric Theory, Cambridge University Press, vol. 2(02), pages 291-293, August.
  36. Knight, John L., 1985. "The moments of ols and 2sls when the disturbances are non-normal," Journal of Econometrics, Elsevier, vol. 27(1), pages 39-60, January.
  37. Knight, John L, 1984. "Asymptotic Distribution of Dynamic Multipliers in Dynamic Autoregressive Models," Econometrica, Econometric Society, vol. 52(1), pages 217-22, January.
  38. Knight, John L, 1982. "Asymptotic Distribution of Restricted Reduced Forms and Dynamic Multipliers in a Linear Dynamic Model with Vector Autoregressive Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 23(3), pages 553-63, October.
  39. Knight, John L., 1982. "A note on finite sample analysis of misspecification in simultaneous equation models," Economics Letters, Elsevier, vol. 9(3), pages 275-279.
  40. Knight, John L., 1980. "The coefficient of determination and simultaneous equation systems," Journal of Econometrics, Elsevier, vol. 14(2), pages 265-270, October.
  41. Knight, John L., 1977. "On the existence of moments of the partially restricted reduced-form estimators from a simultaneous-equation model," Journal of Econometrics, Elsevier, vol. 5(3), pages 315-321, May.
7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2005-10-04
  2. NEP-CMP: Computational Economics (1) 2005-10-04
  3. NEP-ECM: Econometrics (5) 2000-01-24 2009-01-03 2009-01-03 2012-04-23 2012-09-03. Author is listed
  4. NEP-FIN: Finance (1) 2005-10-04
  5. NEP-ORE: Operations Research (1) 2009-01-03
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