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 3 8 192
Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters 0 0 1 119 4 4 10 305
Diversification When It Hurts? The Joint Distributions of Property and Other Asset Classes 0 0 0 13 1 2 4 47
Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets 0 0 0 132 3 7 15 346
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 1 8 1 1 11 35
Empirical Characteristic Function in Time Series Estimation 0 0 1 10 7 9 20 71
Estimation of Stationary Stochastic Processes via the Empirical Characteristic Function 0 0 0 0 2 2 6 461
Exact Properties of Measures of Optimal Investment for Institutional Investors 0 0 0 88 1 1 5 238
Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model 0 0 0 145 3 3 9 1,591
Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models 0 0 0 22 1 2 10 96
Statistical Modeling of Asymetric Risk in Asset Returns 0 0 0 0 5 6 10 399
Steady-State Distributions for Models of Bubbles: their Existence and Econometric Implications 0 0 1 52 3 5 10 198
Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality 0 0 0 337 0 1 5 1,306
The Properties of Double-Blind Dutch Auctions in a Clearing House; Some New Results for the Mendelson Model 0 0 0 24 1 1 12 267
Total Working Papers 0 0 4 1,019 32 47 135 5,552

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 2 31
A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model 0 0 0 34 1 3 8 118
A Re-Examination of Sharpe's Ratio for Log-Normal Prices 0 0 0 241 3 4 9 814
A Semiparametric Two-Factor Term Structure Model 0 0 0 71 1 1 5 164
A note on finite sample analysis of misspecification in simultaneous equation models 0 0 0 6 0 1 6 38
Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach 0 0 0 16 2 5 15 93
Asymptotic Distribution of Dynamic Multipliers in Dynamic Autoregressive Models 0 0 0 15 2 3 7 96
Asymptotic Distribution of Restricted Reduced Forms and Dynamic Multipliers in a Linear Dynamic Model with Vector Autoregressive Errors 0 0 0 4 1 1 1 37
Asymptotic Expansions for Random Walks with Normal Errors 0 0 0 4 4 4 11 29
Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters 0 0 0 31 5 7 12 153
Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets1 0 0 0 13 4 6 12 62
ECF estimation of Markov models where the transition density is unknown 0 0 0 13 0 0 4 130
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 1 1 35 3 7 11 164
Estimation of Continuous-Time Processes via the Empirical Characteristic Function 0 0 0 0 1 4 7 498
Estimation of the stochastic conditional duration model via alternative methods 0 0 0 42 2 9 9 210
Exact critical regions and confidence intervals for maximum likelihood estimators in the exponential regression model 0 0 0 31 1 1 3 153
Exact properties of measures of optimal investment for benchmarked portfolios 0 0 0 6 2 3 6 34
Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios 0 0 0 10 2 3 6 52
Finite sample comparison of alternative estimators of Itô diffusion processes: a Monte Carlo study 0 0 0 1 1 1 6 7
Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors 0 0 0 7 1 2 4 69
Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions 0 0 1 84 6 7 16 376
Large deviations theorems for optimal investment problems with large portfolios 0 0 0 19 1 2 7 72
Non-Normal Errors and the Distribution of OLS and 2SLS Structural Estimators 0 0 1 11 2 2 12 44
On the existence of moments of the partially restricted reduced-form estimators from a simultaneous-equation model 0 0 0 2 0 1 4 34
Some Exact Distribution Results for the Partially Restricted Reduced form Estimator 0 0 0 3 2 3 9 36
Some New Results for Threshold AR(1) Models 0 0 2 99 6 6 12 221
Statistical modelling of asymmetric risk in asset returns 0 0 0 67 4 5 11 157
Steady state distributions for models of locally explosive regimes: Existence and econometric implications 0 0 0 18 2 4 12 75
Stochastic volatility model under a discrete mixture-of-normal specification 0 0 0 17 3 4 9 82
Testing for infinite order stochastic dominance with applications to finance, risk and income inequality 0 0 0 38 2 2 6 117
The Cumulant Generating Function Estimation Method 0 0 0 53 2 3 6 162
The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances 0 0 0 1 0 1 4 15
The coefficient of determination and simultaneous equation systems 0 0 0 28 2 3 5 142
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 2 7 15
The moments of ols and 2sls when the disturbances are non-normal 0 0 0 19 5 5 10 66
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 101 1 1 6 239
Using approximate results for validating value-at-risk 0 0 0 0 0 0 5 5
Value at risk linear exponent (VARLINEX) forecasts 0 0 0 0 0 0 2 20
Total Journal Articles 0 1 5 1,152 75 116 287 4,830

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 1 1 15 3 6 19 83
Return Distributions in Finance 0 0 0 7 0 0 2 21
Total Books 0 1 1 22 3 6 21 104

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Statistics updated 2026-05-06