John Knight

University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased)

University of Western Ontario, Faculty of Social Science, Department of Economics (deceased)

SCHOLARLY PAPERS

11

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CITATIONS
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11

Scholarly Papers (11)

1.

Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model

Bank of Canada Working Paper No. 99-19
Number of pages: 55 Posted: 30 Nov 1999
John Knight, Fuchun Li and Mingwei Yuan
University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased), University College of the Cariboo and Bank of Canada - Department of Monetary and Financial Analysis
Downloads 392 (73,454)

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2.

Empirical Characteristic Function in Time Series Estimation

Auckland Department of Economics Working Paper No. 200
Number of pages: 41 Posted: 01 May 2001
John Knight and Jun Yu
University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased) and Singapore Management University
Downloads 218 (138,101)
Citation 13

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Empirical Characteristic Function, Stationary Processes, Gaussian ARMA Processes, Stable ARMA Processes

3.

A Nonparametric Approach to the Estimation of Diffusion Processes - With an Application to a Short-Term Interest Rate Model

Econometric Theory, 1997 (13), 615-645
Number of pages: 37 Posted: 20 Sep 2012
George J. Jiang and John Knight
Washington State University and University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased)
Downloads 148 (195,092)
Citation 18

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4.

Estimation of Continuous-Time Processes via the Empirical Characteristic Function

Journal of Business & Economic Statistics, 20:2, 198-212 (2002)
Posted: 18 Feb 2013
George J. Jiang and John Knight
Washington State University and University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased)
Downloads 79 (303,274)
Citation 29

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5.

Finite Sample Comparison of Alternative Estimators of Itô Diffusion Processes -- A Monte Carlo Study

Journal of Computational Finance, 1999 (2), Nov. 3, 1-34
Number of pages: 41 Posted: 02 Oct 2012
George J. Jiang and John Knight
Washington State University and University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased)
Downloads 79 (303,274)
Citation 3

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Diffusion Process, Parametric Estimation, Nonparametric Estimation, Monte Carlo Simulation

6.

ECF Estimation of Markov Models Where the Transition Density is Unknown

Econometrics Journal, Vol. 13, Issue 2, pp. 245-270, July 2010
Number of pages: 26 Posted: 10 May 2010
George J. Jiang and John Knight
Washington State University and University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased)
Downloads 2 (629,823)
Citation 5
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7.

Estimation of the Stochastic Conditional Duration Model Via Alternative Methods

Econometrics Journal, Vol. 11, Issue 3, pp. 593-616, November 2008
Number of pages: 24 Posted: 03 Nov 2008
John Knight and Cathy Qiao Ning
University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased) and affiliation not provided to SSRN
Downloads 1 (642,532)
Citation 1
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8.

Stochastic Conditional Duration Model with a Mixture-of-Normal Error Distribution: Theoretical Properties and Monte-Carlo Results

Posted: 02 Apr 2013
Dinghai Xu, John Knight and Tony S. Wirjanto
Independent, University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased) and University of Waterloo - School of Accounting and Finance

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Stochastic Conditional Duration Model, Autoregressive Conditional Duration Model, Leverage Effect, Discrete Mixtures of Normal, Empirical Characteristic Function

9.

Asymmetric Stochastic Conditional Duration Model — A Mixture-of-Normal Approach

Journal of Financial Econometrics, Vol. 9, No. 3, 469-488, 2011
Posted: 31 Mar 2013
Dinghai Xu, John Knight and Tony S. Wirjanto
Independent, University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased) and University of Waterloo - School of Accounting and Finance

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Stochastic Duration Model, Mixture of Normal Distribution, Leverage Effect, Continuous Empirical Characteristic Function

10.

Optimal Investment and Asymmetric Risk for a Large Portfolio: A Large Deviations Approach

Posted: 04 Sep 2008
John Knight, Stephen E. Satchell and Ba M. Chu
University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased), University of Cambridge - Faculty of Economics and Politics and Carleton University

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Optimal portfolio, The Edgeworth expansion, Asymmetric Risk, Large deviations, Asymmetric Gamma distribution, Nonlinear correlations, Value at Risk

11.

A Semiparametric Two-Factor Term Structure Model

Journal of Financial Econometrics, Vol. 4, No. 2, pp. 204-237, 2006
Posted: 29 Feb 2008
John Knight, Fuchun Li and Mingwei Yuan
University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased), University College of the Cariboo and affiliation not provided to SSRN

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nonparametric kernel estimation, diffusion process, discrete-time sampling, pricing derivative securities, two-factor term structure model