John L. Knight : Citation Profile


Deceased: 2016-01

8

H index

8

i10 index

343

Citations

RESEARCH PRODUCTION:

36

Articles

14

Papers

2

Books

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   37 years (1977 - 2014). See details.
   Cites by year: 9
   Journals where John L. Knight has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 11 (3.11 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pkn27
   Updated: 2021-10-16    RAS profile:    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with John L. Knight.

Is cited by:

Kotchoni, Rachidi (12)

Phillips, Peter (11)

Wirjanto, Tony (9)

Xu, Dinghai (9)

Kristensen, Dennis (9)

Taufer, Emanuele (9)

Swanson, Norman (6)

Hadri, Kaddour (6)

Anatolyev, Stanislav (6)

Carrasco, Marine (5)

Hong, Yongmiao (5)

Cites to:

Phillips, Peter (10)

Shiller, Robert (6)

Azariadis, Costas (4)

Tran, Kien (4)

Grossman, Herschel (4)

Hansen, Bruce (4)

Ang, Andrew (4)

Evans, George (4)

Diba, Behzad (4)

Campbell, John (4)

Blanchard, Olivier (3)

Main data


Where John L. Knight has published?


Journals with more than one article published# docs
Econometric Theory9
Journal of Econometrics3
Journal of Financial Econometrics2
Economics Letters2
Applied Mathematical Finance2
Econometrics Journal2
Quantitative Finance2
Journal of Economics and Finance2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Working Papers / Department of Economics, The University of Auckland2
Working Papers / University of Waterloo, Department of Economics2

Recent works citing John L. Knight (2021 and 2020)


YearTitle of citing document
2020Diffusion Copulas: Identification and Estimation. (2020). Hadri, Kaddour ; Kristensen, Dennis ; Bu, Ruijun. In: Papers. RePEc:arx:papers:2005.03513.

Full description at Econpapers || Download paper

2020Can Technical Indicators Provide Information for Future Volatility: International Evidence. (2020). Xun, Peng ; Tingting, Ying ; Nenghui, Zhu ; Yanlong, Shi ; Xiangxing, Tao ; Yafeng, Shi. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:8:y:2020:i:1:p:53-66:n:4.

Full description at Econpapers || Download paper

2021Diffusion copulas: Identification and estimation. (2021). Kristensen, Dennis ; Hadri, Kaddour ; Bu, Ruijun. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:616-643.

Full description at Econpapers || Download paper

2021Nonparametric estimation of jump diffusion models. (2021). Wang, Bin ; Park, Joon Y. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:688-715.

Full description at Econpapers || Download paper

2021Efficient estimation and filtering for multivariate jump–diffusions. (2021). Schwenkler, Gustavo ; Guay, Franois. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:251-275.

Full description at Econpapers || Download paper

2021The numerical simulation of Quanto option prices using Bayesian statistical methods. (2021). Wu, Jianhong ; Gao, Rui ; Li, Yaqiong ; Lin, Lisha. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:567:y:2021:i:c:s0378437120309274.

Full description at Econpapers || Download paper

2020Co-movement across european stock and real estate markets. (2020). Bouri, Elie ; Al-Fayoumi, Nedal ; Abuzayed, Bana. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:189-208.

Full description at Econpapers || Download paper

2021Analysis of the bitcoin stock market indexes using comparative study of two models SV with MCMC algorithm. (2021). Hachicha, F. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:2:d:10.1007_s11156-020-00905-w.

Full description at Econpapers || Download paper

2020Uniform and Lp Convergences of Nonparametric Estimation for Diffusion Models. (2020). Bu, Ruijun ; Wang, Bin ; Kim, Jihyun. In: Working Papers. RePEc:liv:livedp:202021.

Full description at Econpapers || Download paper

2020Asymptotic Normality of Convoluted Smoothed Kernel Estimation for Scalar Diffusion Model. (2020). Yang, Guang ; Hou, Weijie ; Song, Yuping. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:22:y:2020:i:1:d:10.1007_s11009-019-09696-7.

Full description at Econpapers || Download paper

2020Generalized moment estimators for $$\alpha $$α-stable Ornstein–Uhlenbeck motions from discrete observations. (2020). Long, Hongwei ; Hu, Yaozhong ; Cheng, Yiying. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:1:d:10.1007_s11203-019-09201-4.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021Efficient estimation for the volatility of stochastic interest rate models. (2021). Fang, Yetong ; Li, Hangyan ; Song, Yuping. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:4:d:10.1007_s00362-020-01166-4.

Full description at Econpapers || Download paper

John L. Knight has edited the books:


YearTitleTypeCited

Works by John L. Knight:


YearTitleTypeCited
2005Diversification When It Hurts? The Joint Distributions of Property and Other Asset Classes In: ERES.
[Full Text][Citation analysis]
paper8
1999Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method In: Working Papers.
[Full Text][Citation analysis]
paper0
1999Empirical Characteristic Function in Time Series Estimation In: Working Papers.
[Full Text][Citation analysis]
paper28
2002EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION.(2002) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
article
2005Exact Properties of Measures of Optimal Investment for Institutional Investors In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]
paper0
2012The Properties of Double-Blind Dutch Auctions in a Clearing House; Some New Results for the Mendelson Model In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]
paper0
2012Steady-State Distributions for Models of Bubbles: their Existence and Econometric Implications In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]
paper0
2012Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]
paper0
1999Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model In: Staff Working Papers.
[Full Text][Citation analysis]
paper4
2002Estimation of Continuous-Time Processes via the Empirical Characteristic Function. In: Journal of Business & Economic Statistics.
[Citation analysis]
article58
2002Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method In: Australian & New Zealand Journal of Statistics.
[Full Text][Citation analysis]
article15
2011Some New Results for Threshold AR(1) Models In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]
article5
1995Estimation of Stationary Stochastic Processes via the Empirical Characteristic Function. In: Cambridge Working Papers in Economics.
[Citation analysis]
paper3
1999Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper2
2008Testing for infinite order stochastic dominance with applications to finance, risk and income inequality.(2008) In: Journal of Economics and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2001Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions In: Annals of Economics and Finance.
[Full Text][Citation analysis]
article6
1994Some Exact Distribution Results for the Partially Restricted Reduced form Estimator In: Econometric Theory.
[Full Text][Citation analysis]
article1
1997The Cumulant Generating Function Estimation Method In: Econometric Theory.
[Full Text][Citation analysis]
article8
1997A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model In: Econometric Theory.
[Full Text][Citation analysis]
article69
1997Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios In: Econometric Theory.
[Full Text][Citation analysis]
article7
2001A NOTE ON BAYESIAN INFERENCE IN ASSET PRICING In: Econometric Theory.
[Full Text][Citation analysis]
article0
1986Non-Normal Errors and the Distribution of OLS and 2SLS Structural Estimators In: Econometric Theory.
[Full Text][Citation analysis]
article2
1986The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances In: Econometric Theory.
[Full Text][Citation analysis]
article1
1993Asymptotic Expansions for Random Walks with Normal Errors In: Econometric Theory.
[Full Text][Citation analysis]
article5
1984Asymptotic Distribution of Dynamic Multipliers in Dynamic Autoregressive Models. In: Econometrica.
[Full Text][Citation analysis]
article0
2008Estimation of the stochastic conditional duration model via alternative methods In: Econometrics Journal.
[Full Text][Citation analysis]
article11
2010ECF estimation of Markov models where the transition density is unknown In: Econometrics Journal.
[Full Text][Citation analysis]
article2
2014Steady state distributions for models of locally explosive regimes: Existence and econometric implications In: Economic Modelling.
[Full Text][Citation analysis]
article4
1993Exact critical regions and confidence intervals for maximum likelihood estimators in the exponential regression model In: Economics Letters.
[Full Text][Citation analysis]
article0
1982A note on finite sample analysis of misspecification in simultaneous equation models In: Economics Letters.
[Full Text][Citation analysis]
article2
1980The coefficient of determination and simultaneous equation systems In: Journal of Econometrics.
[Full Text][Citation analysis]
article3
1985The moments of ols and 2sls when the disturbances are non-normal In: Journal of Econometrics.
[Full Text][Citation analysis]
article3
1977On the existence of moments of the partially restricted reduced-form estimators from a simultaneous-equation model In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
2011Large deviations theorems for optimal investment problems with large portfolios In: European Journal of Operational Research.
[Full Text][Citation analysis]
article2
1995The exact distribution of the OLS and GLS estimators in regression with an integrated regressor and correlated errors — comparison of numerical and Monte Carlo integration In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]
article0
2000Return Distributions in Finance In: Elsevier Monographs.
[Full Text][Citation analysis]
book0
2007Forecasting Volatility in the Financial Markets In: Elsevier Monographs.
[Full Text][Citation analysis]
book7
1995Statistical Modeling of Asymetric Risk in Asset Returns. In: Saskatchewan - Department of Economics.
[Citation analysis]
paper19
1995Statistical modelling of asymmetric risk in asset returns.(1995) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
article
1982Asymptotic Distribution of Restricted Reduced Forms and Dynamic Multipliers in a Linear Dynamic Model with Vector Autoregressive Errors. In: International Economic Review.
[Full Text][Citation analysis]
article0
2006A Semiparametric Two-Factor Term Structure Model In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article1
2011Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article7
2008Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2005Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets In: Real Estate & Planning Working Papers.
[Full Text][Citation analysis]
paper26
2013Stochastic volatility model under a discrete mixture-of-normal specification In: Journal of Economics and Finance.
[Full Text][Citation analysis]
article0
2005A Re-Examination of Sharpes Ratio for Log-Normal Prices In: Applied Mathematical Finance.
[Full Text][Citation analysis]
article2
1998Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors In: Econometric Reviews.
[Full Text][Citation analysis]
article1
2011Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters In: Econometric Reviews.
[Full Text][Citation analysis]
article3
2008Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2005Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets1 In: Journal of Property Research.
[Full Text][Citation analysis]
article19
2010Exact properties of measures of optimal investment for benchmarked portfolios In: Quantitative Finance.
[Full Text][Citation analysis]
article4
2003Value at risk linear exponent (VARLINEX) forecasts In: Quantitative Finance.
[Full Text][Citation analysis]
article2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team