# John L. Knight

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This author is deceased (Date: Jan 2016)

- John Knight & Stephen Satchell & Jessica Zhang, 2012.
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**Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models**," Birkbeck Working Papers in Economics and Finance 1213, Birkbeck, Department of Economics, Mathematics & Statistics. - John Knight & S.E. Satchell, 2012.
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**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. - John Knight & Stephen Satchell & Nandini Srivastava, 2012.
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**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. - Dinghai Xu & John Knight & Tony S. Wirjanto, 2008.
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**Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"**," Working Papers 08007, University of Waterloo, Department of Economics.- Dinghai Xu & John Knight & Tony S. Wirjanto, 2011.
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**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.

- Dinghai Xu & John Knight & Tony S. Wirjanto, 2011.
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- Dinghai Xu & John Knight, 2008.
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**Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters**," Working Papers 08006, University of Waterloo, Department of Economics.- Dinghai Xu & John Knight, 2011.
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**Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters**," Econometric Reviews, Taylor & Francis Journals, vol. 30(1), pages 25-50.

- Dinghai Xu & John Knight, 2011.
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- Stephen Satchell & John Knight & Ba Chu, 2006.
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**Optimal Investment and Asymmetric Risk for a Large Portfolio: A Large Deviations Approach**," Working Papers wp06-06, Warwick Business School, Finance Group. - John Knight & Colin Lizieri & Stephen Satchell, 2005.
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**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. - John Knight & Stephen Satchell, 2005.
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**Exact Properties of Measures of Optimal Investment for Institutional Investors**," Birkbeck Working Papers in Economics and Finance 0513, Birkbeck, Department of Economics, Mathematics & Statistics. - Stephen Satchell & John Knight & Soosung Hwang, 1999.
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**Forecasting Volatility using LINEX Loss Functions**," Working Papers wp99-20, Warwick Business School, Finance Group. - Knight, J. & Satchell, S., 1999.
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**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.- John Knight & Stephen Satchell, 2008.
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**Testing for infinite order stochastic dominance with applications to finance, risk and income inequality**," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(1), pages 35-46, January.

- John Knight & Stephen Satchell, 2008.
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- Knight, John & Yu, Jun, 1999.
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**Empirical Characteristic Function in Time Series Estimation**," Working Papers 220, Department of Economics, The University of Auckland.- Knight, John L. & Yu, Jun, 2002.
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**Empirical Characteristic Function In Time Series Estimation**," Econometric Theory, Cambridge University Press, vol. 18(03), pages 691-721, June.

- Knight, John L. & Yu, Jun, 2002.
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- Knight, John & Satchell, Stephen & Yu, Jun, 1999.
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**Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method**," Working Papers 205, Department of Economics, The University of Auckland. - Knight, John & Li, Fuchun & Yuan, Mingwei, 1999.
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**Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model**," Staff Working Papers 99-19, Bank of Canada. - Knight,J.L. & Satchell,S.E., 1995.
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**Estimation of Stationary Stochastic Processes via the Empirical Characteristic Function**," Cambridge Working Papers in Economics 9411, Faculty of Economics, University of Cambridge. - Knight, J.L. & Stachell, S.E. & Tran, K.C., 1995.
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**Statistical Modeling of Asymetric Risk in Asset Returns**," Papers 95-3, Saskatchewan - Department of Economics.- J. L. Knight & S. E. Satchell & K. C. Tran, 1995.
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**Statistical modelling of asymmetric risk in asset returns**," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 155-172.

RePEc:arz:wpaper:eres2005_228 is not listed on IDEAS - J. L. Knight & S. E. Satchell & K. C. Tran, 1995.
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- Knight, John & Satchell, Stephen & Srivastava, Nandini, 2014.
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**Steady state distributions for models of locally explosive regimes: Existence and econometric implications**," Economic Modelling, Elsevier, vol. 41(C), pages 281-288. - Dinghai Xu & John Knight, 2013.
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**Stochastic volatility model under a discrete mixture-of-normal specification**," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(2), pages 216-239, April. - Chu, Ba & Knight, John & Satchell, Stephen, 2011.
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**Large deviations theorems for optimal investment problems with large portfolios**," European Journal of Operational Research, Elsevier, vol. 211(3), pages 533-555, June. - Knight John & Satchell Stephen, 2011.
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**Some New Results for Threshold AR(1) Models**," Journal of Time Series Econometrics, De Gruyter, vol. 3(2), pages 1-42, April. - Dinghai Xu & John Knight, 2011.
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**Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters**," Econometric Reviews, Taylor & Francis Journals, vol. 30(1), pages 25-50.- Dinghai Xu & John Knight, 2008.
"
**Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters**," Working Papers 08006, University of Waterloo, Department of Economics.

- Dinghai Xu & John Knight, 2008.
"
- 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.- 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.

- Dinghai Xu & John Knight & Tony S. Wirjanto, 2008.
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- George J. Jiang & John L. Knight, 2010.
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**ECF estimation of Markov models where the transition density is unknown**," Econometrics Journal, Royal Economic Society, vol. 13(2), pages 245-270, 07. - J. Knight & S. E. Satchell, 2010.
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**Exact properties of measures of optimal investment for benchmarked portfolios**," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 495-502. - John Knight & Stephen Satchell, 2008.
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**Testing for infinite order stochastic dominance with applications to finance, risk and income inequality**," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(1), pages 35-46, January.- Knight, J. & Satchell, S., 1999.
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**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.

- Knight, J. & Satchell, S., 1999.
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- John Knight & Cathy Q. Ning, 2008.
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**Estimation of the stochastic conditional duration model via alternative methods**," Econometrics Journal, Royal Economic Society, vol. 11(3), pages 593-616, November. - John Knight & Fuchun Li & Mingwei Yuan, 2006.
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**A Semiparametric Two-Factor Term Structure Model**," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 204-237. - John Knight & Stephen Satchell, 2005.
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**A Re-Examination of Sharpe's Ratio for Log-Normal Prices**," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 87-100. - John Knight & Colin Lizieri & Stephen Satchell, 2005.
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**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. - John Knight & Stephen Satchell & Guoqiang Wang, 2003.
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**Value at risk linear exponent (VARLINEX) forecasts**," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 332-344. - John L. Knight & Stephen E. Satchell & Jun Yu, 2002.
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**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. - Jiang, George J & Knight, John L, 2002.
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**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. - Knight, John L. & Yu, Jun, 2002.
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**Empirical Characteristic Function In Time Series Estimation**," Econometric Theory, Cambridge University Press, vol. 18(03), pages 691-721, June.- Knight, John & Yu, Jun, 1999.
"
**Empirical Characteristic Function in Time Series Estimation**," Working Papers 220, Department of Economics, The University of Auckland.

- Knight, John & Yu, Jun, 1999.
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- Soosung Hwang & John Knight & Stephen E. Satchell, 2001.
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**Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions**," Annals of Economics and Finance, Society for AEF, vol. 2(1), pages 187-213, May. - Knight, J.L. & Satchell, S.E., 2001.
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**A Note On Bayesian Inference In Asset Pricing**," Econometric Theory, Cambridge University Press, vol. 17(02), pages 475-482, April. - K. Maekawa & J. L. Knight & H. Hisamatsu, 1998.
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**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. - Knight, John L. & Satchell, Stephen E., 1997.
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**The Cumulant Generating Function Estimation Method**," Econometric Theory, Cambridge University Press, vol. 13(02), pages 170-184, April. - Knight, John L & Satchell, Stephen E., 1997.
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**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. - Jiang, George J. & Knight, John L., 1997.
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**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. - Knight, John L. & Satchel, Stephen E., 1995.
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**An Approximation to GARCH**," Econometric Theory, Cambridge University Press, vol. 11(01), pages 191-192, February. - J. L. Knight & S. E. Satchell & K. C. Tran, 1995.
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**Statistical modelling of asymmetric risk in asset returns**," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 155-172.- 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.

- Knight, J.L. & Stachell, S.E. & Tran, K.C., 1995.
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- Hisamatsu, H. & Knight, J.L. & Maekawa, K., 1995.
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**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. - Kinal, Terrence W. & Knight, John L., 1994.
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**Some Exact Distribution Results for the Partially Restricted Reduced form Estimator**," Econometric Theory, Cambridge University Press, vol. 10(01), pages 140-171, March. - Knight, J.L. & Satchell, S.E., 1993.
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**Asymptotic Expansions for Random Walks with Normal Errors**," Econometric Theory, Cambridge University Press, vol. 9(03), pages 363-376, June. - Knight, John L. & Satchel, Stephen E., 1993.
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**Exact critical regions and confidence intervals for maximum likelihood estimators in the exponential regression model**," Economics Letters, Elsevier, vol. 41(3), pages 225-229. - Knight, J.L. & Satchell, S.E., 1990.
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**Random Variable Generation via Double Sampling**," Econometric Theory, Cambridge University Press, vol. 6(04), pages 487-488, December.- Knight, John L. & Satchell, S.E., 1992.
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**Random Variable Generation via Double Sampling**," Econometric Theory, Cambridge University Press, vol. 8(01), pages 152-155, March.

- Knight, John L. & Satchell, S.E., 1992.
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- Knight, John L., 1986.
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**Efficient Reduced Form Estimation via OLS**," Econometric Theory, Cambridge University Press, vol. 2(03), pages 448-449, December. - Knight, John L., 1986.
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**A Non-normal Limiting Distribution**," Econometric Theory, Cambridge University Press, vol. 2(02), pages 300-303, August. - Knight, John L., 1986.
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**Non-Normal Errors and the Distribution of OLS and 2SLS Structural Estimators**," Econometric Theory, Cambridge University Press, vol. 2(01), pages 75-106, April. - Knight, John L., 1986.
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**Moments of OLS and 2SLS via Fractional Calculus**," Econometric Theory, Cambridge University Press, vol. 2(02), pages 291-293, August. - Knight, John. L., 1986.
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**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. - Knight, John L., 1985.
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**The moments of ols and 2sls when the disturbances are non-normal**," Journal of Econometrics, Elsevier, vol. 27(1), pages 39-60, January. - Knight, John L, 1984.
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**Asymptotic Distribution of Dynamic Multipliers in Dynamic Autoregressive Models**," Econometrica, Econometric Society, vol. 52(1), pages 217-22, January. - Knight, John L., 1982.
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**A note on finite sample analysis of misspecification in simultaneous equation models**," Economics Letters, Elsevier, vol. 9(3), pages 275-279. - Knight, John L, 1982.
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**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. - Knight, John L., 1980.
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**The coefficient of determination and simultaneous equation systems**," Journal of Econometrics, Elsevier, vol. 14(2), pages 265-270, October. - Knight, John L., 1977.
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**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):

- NEP-CFN: Corporate Finance (1) 2005-10-04
- NEP-CMP: Computational Economics (1) 2005-10-04
- NEP-ECM: Econometrics (5) 2000-01-24 2009-01-03 2009-01-03 2012-04-23 2012-09-03. Author is listed
- NEP-FIN: Finance (1) 2005-10-04
- NEP-ORE: Operations Research (1) 2009-01-03

This author is among the top 5% authors according to these criteria:

#### Most cited item

- 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.

#### Most downloaded item (past 12 months)

- 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.

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