Access Statistics for John L. Knight

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach" 0 0 0 69 0 0 0 183
Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters 0 0 1 117 1 1 3 294
Diversification When It Hurts? The Joint Distributions of Property and Other Asset Classes 0 0 0 13 1 2 3 43
Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets 0 0 0 131 0 1 4 330
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 4 1 1 1 20
Empirical Characteristic Function in Time Series Estimation 0 0 0 6 1 2 5 45
Estimation of Stationary Stochastic Processes via the Empirical Characteristic Function 0 0 0 0 0 0 1 452
Exact Properties of Measures of Optimal Investment for Institutional Investors 0 0 0 88 0 0 0 233
Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model 0 0 0 145 0 0 1 1,582
Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models 0 0 0 22 0 0 0 85
Statistical Modeling of Asymetric Risk in Asset Returns 0 0 0 0 0 0 1 387
Steady-State Distributions for Models of Bubbles: their Existence and Econometric Implications 0 0 0 51 0 0 2 187
Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality 0 0 3 337 0 0 5 1,301
The Properties of Double-Blind Dutch Auctions in a Clearing House; Some New Results for the Mendelson Model 0 0 3 23 0 1 14 245
Total Working Papers 0 0 7 1,006 4 8 40 5,387


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A NOTE ON BAYESIAN INFERENCE IN ASSET PRICING 0 0 0 10 0 0 0 28
A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model 0 0 0 33 0 1 1 107
A Re-Examination of Sharpe's Ratio for Log-Normal Prices 0 0 2 240 0 1 5 799
A Semiparametric Two-Factor Term Structure Model 0 0 0 71 0 0 2 158
A note on finite sample analysis of misspecification in simultaneous equation models 0 0 0 6 0 0 0 32
Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach 0 0 0 16 0 0 0 78
Asymptotic Distribution of Dynamic Multipliers in Dynamic Autoregressive Models 0 0 0 15 0 0 0 89
Asymptotic Distribution of Restricted Reduced Forms and Dynamic Multipliers in a Linear Dynamic Model with Vector Autoregressive Errors 0 0 0 4 0 1 1 36
Asymptotic Expansions for Random Walks with Normal Errors 0 0 0 4 0 0 0 18
Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters 0 1 2 31 1 3 6 140
Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets1 0 0 3 13 0 1 7 47
ECF estimation of Markov models where the transition density is unknown 0 0 0 13 0 0 0 124
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 0 2 32 0 2 4 149
Estimation of Continuous-Time Processes via the Empirical Characteristic Function 0 0 0 0 0 0 1 489
Estimation of the stochastic conditional duration model via alternative methods 0 0 0 42 0 0 0 197
Exact critical regions and confidence intervals for maximum likelihood estimators in the exponential regression model 0 0 0 31 0 0 1 150
Exact properties of measures of optimal investment for benchmarked portfolios 0 0 0 6 0 0 0 26
Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios 0 0 0 10 0 0 1 46
Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors 0 0 0 7 0 0 1 63
Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions 1 1 3 79 1 1 8 345
Large deviations theorems for optimal investment problems with large portfolios 0 0 0 19 1 1 1 64
Non-Normal Errors and the Distribution of OLS and 2SLS Structural Estimators 0 0 0 10 0 0 0 30
On the existence of moments of the partially restricted reduced-form estimators from a simultaneous-equation model 0 0 0 2 0 0 0 30
Some Exact Distribution Results for the Partially Restricted Reduced form Estimator 0 0 0 3 0 0 0 26
Some New Results for Threshold AR(1) Models 0 0 1 95 0 0 1 202
Statistical modelling of asymmetric risk in asset returns 0 0 2 66 0 0 2 143
Steady state distributions for models of locally explosive regimes: Existence and econometric implications 0 0 0 16 0 0 0 58
Stochastic volatility model under a discrete mixture-of-normal specification 0 0 0 17 0 0 0 69
Testing for infinite order stochastic dominance with applications to finance, risk and income inequality 0 0 0 38 0 0 0 111
The Cumulant Generating Function Estimation Method 0 0 2 50 0 1 4 151
The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances 0 0 0 1 0 0 0 10
The coefficient of determination and simultaneous equation systems 0 0 0 28 0 0 0 137
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 0 0 0 2 0 0 0 8
The moments of ols and 2sls when the disturbances are non-normal 0 0 0 19 0 0 0 56
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 101 0 1 1 232
Value at risk linear exponent (VARLINEX) forecasts 0 0 0 0 0 0 0 18
Total Journal Articles 1 2 17 1,130 3 13 47 4,466


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Forecasting Volatility in the Financial Markets 0 0 2 12 0 1 5 54
Return Distributions in Finance 0 0 2 7 0 0 2 18
Total Books 0 0 4 19 0 1 7 72


Statistics updated 2024-03-04