John L. Knight

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• Diversification When It Hurts? The Joint Distributions of Property and Other Asset Classes (RePEc:arz:wpaper:eres2005_228)
  by John Knight & Colin Lizieri & Stephen Satchell
• Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method (RePEc:auc:wpaper:205)
  by Knight, John & Satchell, Stephen & Yu, Jun
• Empirical Characteristic Function in Time Series Estimation (RePEc:auc:wpaper:220)
  by Knight, John & Yu, Jun
• Exact Properties of Measures of Optimal Investment for Institutional Investors (RePEc:bbk:bbkefp:0513)
  by John Knight & Stephen Satchell
• The Properties of Double-Blind Dutch Auctions in a Clearing House; Some New Results for the Mendelson Model (RePEc:bbk:bbkefp:1201)
  by John Knight & S.E. Satchell
• Steady-State Distributions for Models of Bubbles: their Existence and Econometric Implications (RePEc:bbk:bbkefp:1208)
  by John Knight & Stephen Satchell & Nandini Srivastava
• Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models (RePEc:bbk:bbkefp:1213)
  by John Knight & Stephen Satchell & Jessica Zhang
• Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model (RePEc:bca:bocawp:99-19)
  by John Knight & Fuchun Li & Mingwei Yuan
• Estimation of Continuous-Time Processes via the Empirical Characteristic Function (RePEc:bes:jnlbes:v:20:y:2002:i:2:p:198-212)
  by Jiang, George J & Knight, John L
• Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method (RePEc:bla:anzsta:v:44:y:2002:i:3:p:319-335)
  by John L. Knight & Stephen E. Satchell & Jun Yu
• Some New Results for Threshold AR(1) Models (RePEc:bpj:jtsmet:v:3:y:2011:i:2:n:1)
  by Knight John & Satchell Stephen
• Estimation of Stationary Stochastic Processes via the Empirical Characteristic Function (RePEc:cam:camdae:9411)
  by Knight,J.L. & Satchell,S.E.
• Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality (RePEc:cam:camdae:9911)
  by Knight, J. & Satchell, S.
• Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions (RePEc:cuf:journl:y:2001:v:2:i:1:p:187-213)
  by Soosung Hwang & John Knight & Stephen E. Satchell
• Some Exact Distribution Results for the Partially Restricted Reduced form Estimator (RePEc:cup:etheor:v:10:y:1994:i:01:p:140-171_00)
  by Kinal, Terrence W. & Knight, John L.
• The Cumulant Generating Function Estimation Method (RePEc:cup:etheor:v:13:y:1997:i:02:p:170-184_00)
  by Knight, John L. & Satchell, Stephen E.
• A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model (RePEc:cup:etheor:v:13:y:1997:i:05:p:615-645_00)
  by Jiang, George J. & Knight, John L.
• Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios (RePEc:cup:etheor:v:13:y:1997:i:06:p:791-807_00)
  by Knight, John L & Satchell, Stephen E.
• A Note On Bayesian Inference In Asset Pricing (RePEc:cup:etheor:v:17:y:2001:i:02:p:475-482_17)
  by Knight, J.L. & Satchell, S.E.
• Empirical Characteristic Function In Time Series Estimation (RePEc:cup:etheor:v:18:y:2002:i:03:p:691-721_18)
  by Knight, John L. & Yu, Jun
• Non-Normal Errors and the Distribution of OLS and 2SLS Structural Estimators (RePEc:cup:etheor:v:2:y:1986:i:01:p:75-106_01)
  by Knight, John L.
• The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances (RePEc:cup:etheor:v:2:y:1986:i:02:p:202-219_01)
  by Knight, John. L.
• Asymptotic Expansions for Random Walks with Normal Errors (RePEc:cup:etheor:v:9:y:1993:i:03:p:363-376_00)
  by Knight, J.L. & Satchell, S.E.
• Asymptotic Distribution of Dynamic Multipliers in Dynamic Autoregressive Models (RePEc:ecm:emetrp:v:52:y:1984:i:1:p:217-22)
  by Knight, John L
• Estimation of the stochastic conditional duration model via alternative methods (RePEc:ect:emjrnl:v:11:y:2008:i:3:p:593-616)
  by John Knight & Cathy Q. Ning
• ECF estimation of Markov models where the transition density is unknown (RePEc:ect:emjrnl:v:13:y:2010:i:2:p:245-270)
  by George J. Jiang & John L. Knight
• Steady state distributions for models of locally explosive regimes: Existence and econometric implications (RePEc:eee:ecmode:v:41:y:2014:i:c:p:281-288)
  by Knight, John & Satchell, Stephen & Srivastava, Nandini
• Exact critical regions and confidence intervals for maximum likelihood estimators in the exponential regression model (RePEc:eee:ecolet:v:41:y:1993:i:3:p:225-229)
  by Knight, John L. & Satchel, Stephen E.
• A note on finite sample analysis of misspecification in simultaneous equation models (RePEc:eee:ecolet:v:9:y:1982:i:3:p:275-279)
  by Knight, John L.
• The coefficient of determination and simultaneous equation systems (RePEc:eee:econom:v:14:y:1980:i:2:p:265-270)
  by Knight, John L.
• The moments of ols and 2sls when the disturbances are non-normal (RePEc:eee:econom:v:27:y:1985:i:1:p:39-60)
  by Knight, John L.
• On the existence of moments of the partially restricted reduced-form estimators from a simultaneous-equation model (RePEc:eee:econom:v:5:y:1977:i:3:p:315-321)
  by Knight, John L.
• Large deviations theorems for optimal investment problems with large portfolios (RePEc:eee:ejores:v:211:y:2011:i:3:p:533-555)
  by Chu, Ba & Knight, John & Satchell, Stephen
• 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 (RePEc:eee:matcom:v:39:y:1995:i:3:p:273-277)
  by Hisamatsu, H. & Knight, J.L. & Maekawa, K.
• Return Distributions in Finance (RePEc:eee:monogr:9780750647519)
  by Satchell, Stephen & Knight, John
• Performance Measurement in Finance (RePEc:eee:monogr:9780750650267)
  by None
• Linear Factor Models in Finance (RePEc:eee:monogr:9780750660068)
  by None
• Forecasting Volatility in the Financial Markets (RePEc:eee:monogr:9780750669429)
  by Satchell, Stephen & Knight, John
• Statistical Modeling of Asymetric Risk in Asset Returns (RePEc:fth:saskat:95-3)
  by Knight, J.L. & Stachell, S.E. & Tran, K.C.
• Asymptotic Distribution of Restricted Reduced Forms and Dynamic Multipliers in a Linear Dynamic Model with Vector Autoregressive Errors (RePEc:ier:iecrev:v:23:y:1982:i:3:p:553-63)
  by Knight, John L
• A Semiparametric Two-Factor Term Structure Model (RePEc:oup:jfinec:v:4:y:2006:i:2:p:204-237)
  by John Knight & Fuchun Li & Mingwei Yuan
• Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach (RePEc:oup:jfinec:v:9:y:2011:i:3:p:469-488)
  by Dinghai Xu & John Knight & Tony S. Wirjanto
• Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets (RePEc:rdg:repxwp:rep-wp2005-16)
  by John Knight & Colin Lizieri & Stephen Satchell
• Testing for infinite order stochastic dominance with applications to finance, risk and income inequality (RePEc:spr:jecfin:v:32:y:2008:i:1:p:35-46)
  by John Knight & Stephen Satchell
• Stochastic volatility model under a discrete mixture-of-normal specification (RePEc:spr:jecfin:v:37:y:2013:i:2:p:216-239)
  by Dinghai Xu & John Knight
• A Re-Examination of Sharpe's Ratio for Log-Normal Prices (RePEc:taf:apmtfi:v:12:y:2005:i:1:p:87-100)
  by John Knight & Stephen Satchell
• Statistical modelling of asymmetric risk in asset returns (RePEc:taf:apmtfi:v:2:y:1995:i:3:p:155-172)
  by J. L. Knight & S. E. Satchell & K. C. Tran
• Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors (RePEc:taf:emetrv:v:17:y:1998:i:4:p:387-413)
  by K. Maekawa & J. L. Knight & H. Hisamatsu
• Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters (RePEc:taf:emetrv:v:30:y:2011:i:1:p:25-50)
  by Dinghai Xu & John Knight
• Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets1 (RePEc:taf:jpropr:v:22:y:2005:i:4:p:309-323)
  by John Knight & Colin Lizieri & Stephen Satchell
• Exact properties of measures of optimal investment for benchmarked portfolios (RePEc:taf:quantf:v:10:y:2010:i:5:p:495-502)
  by J. Knight & S. E. Satchell
• Value at risk linear exponent (VARLINEX) forecasts (RePEc:taf:quantf:v:3:y:2003:i:4:p:332-344)
  by John Knight & Stephen Satchell & Guoqiang Wang
• Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters (RePEc:wat:wpaper:08006)
  by Dinghai Xu & John Knight
• Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach" (RePEc:wat:wpaper:08007)
  by Dinghai Xu & John Knight & Tony S. Wirjanto