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 1 4 187
Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters 0 1 1 119 0 2 2 297
Diversification When It Hurts? The Joint Distributions of Property and Other Asset Classes 0 0 0 13 1 1 1 44
Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets 0 0 0 132 1 5 6 337
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 4 8 1 4 9 29
Empirical Characteristic Function in Time Series Estimation 0 0 1 10 3 6 9 58
Estimation of Stationary Stochastic Processes via the Empirical Characteristic Function 0 0 0 0 2 4 6 459
Exact Properties of Measures of Optimal Investment for Institutional Investors 0 0 0 88 0 1 2 235
Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model 0 0 0 145 1 3 4 1,586
Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models 0 0 0 22 4 6 7 92
Statistical Modeling of Asymetric Risk in Asset Returns 0 0 0 0 0 2 4 391
Steady-State Distributions for Models of Bubbles: their Existence and Econometric Implications 0 0 1 52 1 2 4 191
Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality 0 0 0 337 0 1 1 1,302
The Properties of Double-Blind Dutch Auctions in a Clearing House; Some New Results for the Mendelson Model 0 0 1 24 3 4 10 263
Total Working Papers 0 1 8 1,019 17 42 69 5,471

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 2 2 3 31
A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model 0 0 1 34 1 1 5 112
A Re-Examination of Sharpe's Ratio for Log-Normal Prices 0 0 0 241 0 3 5 809
A Semiparametric Two-Factor Term Structure Model 0 0 0 71 0 3 3 162
A note on finite sample analysis of misspecification in simultaneous equation models 0 0 0 6 1 3 3 35
Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach 0 0 0 16 2 4 5 83
Asymptotic Distribution of Dynamic Multipliers in Dynamic Autoregressive Models 0 0 0 15 1 1 2 91
Asymptotic Distribution of Restricted Reduced Forms and Dynamic Multipliers in a Linear Dynamic Model with Vector Autoregressive Errors 0 0 0 4 0 0 0 36
Asymptotic Expansions for Random Walks with Normal Errors 0 0 0 4 2 4 5 23
Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters 0 0 0 31 1 2 3 144
Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets1 0 0 0 13 3 4 6 54
ECF estimation of Markov models where the transition density is unknown 0 0 0 13 2 2 3 129
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 0 0 34 1 3 3 156
Estimation of Continuous-Time Processes via the Empirical Characteristic Function 0 0 0 0 1 2 3 493
Estimation of the stochastic conditional duration model via alternative methods 0 0 0 42 0 0 1 201
Exact critical regions and confidence intervals for maximum likelihood estimators in the exponential regression model 0 0 0 31 0 1 1 151
Exact properties of measures of optimal investment for benchmarked portfolios 0 0 0 6 0 0 0 28
Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios 0 0 0 10 1 3 3 49
Finite sample comparison of alternative estimators of Itô diffusion processes: a Monte Carlo study 0 0 1 1 0 1 2 2
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 1 2 66
Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions 1 1 2 84 3 3 6 365
Large deviations theorems for optimal investment problems with large portfolios 0 0 0 19 1 1 1 66
Non-Normal Errors and the Distribution of OLS and 2SLS Structural Estimators 0 0 1 11 2 2 4 36
On the existence of moments of the partially restricted reduced-form estimators from a simultaneous-equation model 0 0 0 2 1 3 3 33
Some Exact Distribution Results for the Partially Restricted Reduced form Estimator 0 0 0 3 0 0 3 29
Some New Results for Threshold AR(1) Models 0 1 2 99 0 3 6 213
Statistical modelling of asymmetric risk in asset returns 0 0 0 67 2 2 4 149
Steady state distributions for models of locally explosive regimes: Existence and econometric implications 0 0 1 18 1 3 9 70
Stochastic volatility model under a discrete mixture-of-normal specification 0 0 0 17 0 2 5 76
Testing for infinite order stochastic dominance with applications to finance, risk and income inequality 0 0 0 38 1 3 3 114
The Cumulant Generating Function Estimation Method 0 0 1 53 1 2 5 158
The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances 0 0 0 1 0 0 3 13
The coefficient of determination and simultaneous equation systems 0 0 0 28 1 1 1 138
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 1 3 3 11
The moments of ols and 2sls when the disturbances are non-normal 0 0 0 19 1 2 3 59
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 101 1 2 4 237
Using approximate results for validating value-at-risk 0 0 0 0 1 3 3 3
Value at risk linear exponent (VARLINEX) forecasts 0 0 0 0 1 1 1 19
Total Journal Articles 1 2 9 1,151 36 76 125 4,644

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 0 14 2 4 15 76
Return Distributions in Finance 0 0 0 7 2 2 2 21
Total Books 0 0 0 21 4 6 17 97

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Statistics updated 2026-01-09