# John Knight

**Professor****Ph.D. University of New South Wales, 1980**

**Office:** SSC 4029**Telephone:** 519-661-3489**Fax:** 519-661-3666**E-mail: **jknight@uwo.ca

## Research Interests

Financial Econometrics

## Teaching Fields

Econometrics, Statistics

## Publications

"Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions," *Annals of Economics and Finance,* 2(1): 187- 213 (2001), with S. Hwang and S. E. Satchell.

"Estimation of Continuous Time Stochastic Processes via the Empirical Characteristic Function," *Journal of Business and Economic Statistics*, 20(2): 198-212 (2002), with G. Jiang.

"The Empirical Characteristic Function in Time Series Estimation," *Econometric Theory*, 18(3): 691-721 (2002), with J. Yu.

"A Note on Bayesian Inference in Asset Pricing," *Econometric Theory*, Vol. 17: 475-482 (2001), with S. E. Satchell.

*Return Distributions in Finance* (Butterworth Heinemann, 2000) (Edited with S. E. Satchell).

"Pricing Derivatives Written on Assets with Arbitrary Skewness and Kurtosis," Chapter in *Return Distributions in Finance* (Butterworth Heinemann, 2000), with S. E. Satchell.

"The Probability Functions of Option Prices, Risk-Neutral Pricing and Value-at-Risk," Chapter in *Return Distributions in Finance* (Butterworth Heinemann, 2000), with S. E. Satchell and Guoqiang Wang.

"Efficiency Considerations in the Negative Exponential Failure Time Model" (Chapter 24). In *Handbook of Applied Econometrics and Statistical Inference*. Statistics, Textbooks and Monographs. A. Ullah, A.T.K. Wan, and A. Chaturvedi. New York, NY: Marcel Dekker, Inc. 513-534 (2002), with S.E. Satchell.

"Parametric versus Non-parametric Estimation of Diffusion Processes - A Monte Carlo Comparison," *Journal of Computational Finance*, Vol. 2 (1999), 5-38, with G. Jiang.

"Modelling the Intraday Distribution of Stock Returns: An Investigation of the Number of Transactions and the Time of the Day Using IBM and Intel Data," in P. Lequeux (ed.), *The Financial Markets Tick-by-Tick* (New York: John Wiley & Sons, 1999), with Shinn-Juh Lin and S. E. Satchell.

"Finite Sample Comparisons of the Distributions of the OLS and GLS Estimators in Regression Models With an Integrated Regressor and Correlated Errors," *Econometric Reviews* 17 (1998): 387-413, with K. Maekawa and H. Hisamatsu.

(Editors) Forecasting* Volatility in the Financial Markets*. 2nd ed. Quantitative Finance Series. Oxford, United Kingdom: Butterworth-Heinemann Publishers. x, 407 Includes the work in first edition plus two new chapters (2002), with S. Satchell.

"GARCH Predictions and the Predictions of Option Prices" (Chapter 8). In *Forecasting Volatility in the Financial Markets*. 2nd ed. Quantitative Finance Series. Oxford, United Kingdom: Butterworth-Heinemann Publishers. 226-244 (2002), with S. Satchell.

"GARCH Processes: Some Exact Results, Some Difficulties and a Suggested Remedy" (Chapter 13). In *Forecasting Volatility in the Financial Markets*. 2nd ed. Quantitative Finance Series. Oxford, United Kingdom: Butterworth-Heinemann Publishing: 321-346 (2002), with S. Satchell.

Pricing the Boost Option (with S. E. Satchell), Derivatives Use, Trading and Regulation 3 (1997), 226-236.

A Nonparametric Approach to the Estimation of Diffusion Processes - With an Application to a Short-Term Interest Rate Model (with G. J. Jiang), Econometric Theory 13 (1997), 615-645.

Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives and Hedge Ratios (with S. E. Satchell), Econometric Theory 13 (1997), 791-807.

The Cumulant Generating Function Estimation Method: Implementation and Asymptotic Efficiency (with S.E. Satchell), Econometric Theory 13 (1997), 170-184.

Statistical Modelling of Asymmetric Risk in Asset Returns, (with S.E. Satchell and K.C. Tran), Applied Mathematical Finance 2 (1995), 155-172.

The Exact Distribution of the Maximum Likelihood Estimators for the Linear Regression Negative Exponential Model, (with S.E. Satchell), Journal of Statistical Planning and Inference 50 (1996), 91-102.

An Approximation to GARCH, (with S.E. Satchell), Problem 95.1.3, Econometric Theory 11 (1995), 211-214.

The Exact Distribution of the OLS and GLS Estimators in Regressions with an Integrated Regressor and Correlated Errors - Comparison of Numerical and Monte Carlo Integration, (with H. Hisamatsu and K. Maekawa) Mathematics and Computers in Simulations 39 (1995), 273-277.

Some Exact Distribution Results for the Partially Restricted Reduced Form Estimator, (with T.W. Kinal), Econometric Theory 10 (1994), 140-171.

Asymptotic Expansions for Random Walks with Normal Errors, (with S.E. Satchell), Econometric Theory 9 (1993), 363-376.

Exact Critical Regions and Confidence Intervals for MLE in the Exponential Regression Model, (with S.E. Satchell), Economics Letters 41 (1993), 225-229.

Random Variable Generation via Double Sampling, Solution to Problem 90.4.4, Econometric Theory 8 (1992), 152-155.

The Exact Distribution of the PRRF Estimator - A Monte Carlo Integration Approach, in Contrib. to Econ. Theory and Application, Eds. R.A.L. Carter, A. Ullah & J. Dutta, Springer-Verlag (1990).

Random Variable Generation via Double Sampling (with S.E. Satchell), Problem 90.4.4, Econometric Theory 6 (1990), 487-488.

Conditional and Unconditional Independence (with S. E. Satchell), Econometric Theory 6 (1990), 283.

Moments of OLS and 2SLS via Fractional Calculus, Solution to Problem 86.2.6, Econometric Theory 3 (1987), 469-470.

Efficient Reduced Form Estimation via OLS, Solution to Problem 85.2.1, Econometric Theory 2 (1986), 448-449.

Moments of OLS and 2SLS via Fractional Calculus, Problem 86.2.6, Econometric Theory 2 (1986), 291-293.

A Non-Normal Limiting Distribution, Solution to Problem 85.1.4, Econometric Theory 2 (1986), 300-303.

The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances, Econometric Theory 2 (1986), 202-219.

Efficient Reduced Form via OLS, Problem 85.2.1, Econometric Theory 1 (1985), 291-292.

Non-Normal Errors and the Distribution of OLS and 2 SLS Structural Estimators, Econometric Theory 2 (1986), 75-106.

"The Joint Characteristic Function of Linear and Quadratic Forms of Non-Normal Variables, Sankhya: The Indian Journal of Statistics 47 Series A, Pt. 2 (1985), 231-238.

The Moments of OLS and 2SLS When the Disturbances are Non-Normal, Journal of Econometrics 27 (1985), 39-60.

Asymptotic Distribution of Dynamic Multipliers in Dynamic Autoregressive Models, Econometrica 52 (1984), 217-222.

A Note on Finite Sample Analysis of Misspecification in Simultaneous Equation Models, Economics Letters 9 (1982), 275-279.

Asymptotic Distribution of Restricted Reduced Forms and Dynamic Multipliers in a Linear Dynamic Model with Vector Autoregressive Errors, International Economic Review 23 (1982), 553-563.

The Coefficient of Determination and Simultaneous Equation Systems, Journal of Econometrics 14 (1980), 265-270.

On the Existence of the Moments of the Partially Restricted Reduced-Form Estimators from a Simultaneous-Equation Model, Journal of Econometrics 5 (1977), 315-321.

## Articles Submitted

Pricing Interest Rate Derivatives in a Non-parametric Two-Factor Term-Structure Model (with Fuchun Li and Mingwei Yuan). (Submitted to JFQA.)

Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality (with S. E. Satchell). (Submitted to R.E.Stud.)

Efficient Estimation of the Stochastic Volatility Model via the Empirical Characteristic Function (with S. E. Satchell and J. Yu). (Submitted to Australian and New Zealand Journal of Statistics.)

## Articles Under Revision

Stochastic Asymptotic Expansions and Edgeworth Type Expansions - A Note

## Work in Progress

Mean-Variance, Mean Gini and Lower-Partial Moment Risk Measures

The Distribution of the Black/Scholes Option Price When the Log Price Follows Either Brown Motion or Ornstein-Uhlenbeck Process (with S.E. Satchell)

Threshold Models in Time Series With Applications in Finance

A Model of a Continuous Time GARCH Process (with S.E. Satchell and Y. Yoon)

The Joint Distribution of Asset Prices and Number of Transactions (with S.E. Satchell and Y. Yoon)

Exact Properties of the PRRF Estimators Under Structural Misspecification

Asymptotic Expansions of GLS and OLS Estimators in a Regression with Integrated Regressors and Correlated Errors, (with K. Maekawa and H. Hisamatsu)

## Discussion and Working Papers

Efficiency Considerations in the Negative Exponential Failure Time Model, (with S.E. Satchell) Discussion Paper in Economics - #10/92 Birkbeck College, University of London.

Asymptotic Expansions for Random Walks with Normal Errors, (with S.E. Satchell) Discussion Paper in Economics - #11/92.

Exact Critical Regions and Confidence Intervals for MLE in the Negative Exponential Regression Model, (with S.E. Satchell) Discussion Paper - #12/92.

Edgeworth Expansion of the Density Function of the Stein-rule Estimator Using Fractional Calculus, Working Paper - Department of Econometrics, The University of New South Wales (1986).

Misspecification and the PRRF Estimator - Some Exact Results, Working Paper - The University of New South Wales (1985).

The Structure of Reduced Form Estimators in Linear Simultaneous Equation Models, Working Paper - Department of Economics - Indiana University (1984).

The Distribution of the 2SLS Estimator of the Marginal Propensity to Consume Under the Assumption of Non-Normal Disturbances, Working Paper - The University of New South Wales (1983).

The k-Class of Reduced Form Estimators, Working Paper - The University of New South Wales (1983).

A Note on Approximations to the Moments of the Partially Restricted Reduced Form Estimator, Working Paper - The University of New South Wales (1983).

Non-Normality of Disturbances and the k-Class Structural Estimator, Discussion Paper No. 40 - School of Economics - The University of New South Wales (1981).

Small Sample Properties of the Partially Restricted Reduced Form Estimator from a Simultaneous Equation Model, Discussion Paper No. 11 - School of Economics - The University of New South Wales (1974).

## Conference Papers

Aug. 1995 World Congress Econometric Society - paper presented: Estimation of Stationary Stochastic Processes via the Empirical Characteristic Function

Dec. 1993 Silver Jubilee Ph.D. Conference - University of New South Wales - paper presented: Estimation of an MA(1) Process via the Empirical Characteristic Function

Dec. 1993 2nd International Financial Econometrics Conference - Queenstown, New Zealand - paper presented: Some Exact Results for GARCH Processes and a Characterization

June 1992 International Conference on Simulation Techniques - Rotterdam - paper presented: Exact Critical Regions and Confidence Intervals for MLE in the Exponential Regression Model

Sept. 1991 Canadian Econometric Study Group - Quebec - paper presented: Asymptotic Expansions for Random Walks with Normal Errors

Oct. 1988 Canadian Econometric Study Group - Banff - paper presented: Misspecification in Generated Regressor Models

Jan. 1988 Silver Jubilee of Indian Econometric Society - Bangalore - paper presented: The Exact Distribution of the PRRF Estimator - A Fractional Calculus Approach

Sept. 1987 Canadian Econometric Study Group - Waterloo - paper presented: Exact Properties of PRRF Estimator Under Structural Misspecification

Aug. 1986 Australasian Meeting of the Econometric Society - Melbourne - paper presented: Misspecification and the Distribution of the Stein-Rule Estimator

Aug. 1984 Australasian Meeting of the Econometric Society - Sydney - paper presented: Non- Formality and the Distribution of Econometric Estimators

Dec. 1983 Winter Meeting of the Econometric Society - San Francisco - paper presented: Non- Formal Disturbances and the Distribution of OLS and 2SLS Estimators

Sept. 1983 European Meeting of the Econometric Society - Pisa - paper presented: Non-Normal Distribution of the D-W Statistic

Aug. 1982 1st Meeting of the Australian Econometrics Study Group - Monash University - paper presented: The Effect of Non-Normal Disturbances on the Distribution of the Durbin-Watson Statistic

Also - invited discussant on a paper by G. Hillier on The Exact Distribution of the IV Estimator: An Alternative Approach

June 1982 Summer Meeting of the Econometric Society - Cornell University - paper presented: Non-Normality of Disturbances and the k-Class Structural Estimator

May 1977 Sixth Conference of Economists - Hobart - paper presented: (Joint with A.D. Owen) The Exact Finite Sample Properties of Simultaneous Equation Estimators and Associated Statistics: A Synthesis and Classified Bibliography

Aug. 1976 The Third Australian Statistical Conference - Melbourne - paper presented: The Trace Correlation and Its Small Sample Properties Under Different Reduced Form Estimation Methods