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Johannes, Michael S.'s
Scholarly Papers
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Total
Downloads
8,347 |
Total
Citations
550 |
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1.
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Johannes, Michael S.
Columbia Business School - Finance and Economics Polson, Nick
University of Chicago - Booth School of Business
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1,426
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56
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2.
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Johannes, Michael S.
Columbia Business School - Finance and Economics Korteweg, Arthur G.
Stanford Graduate School of Business Polson, Nick
University of Chicago - Booth School of Business
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25 Mar 08
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Last Revised:
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04 Apr 13
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896
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9
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Learning, predictability, optimal portfolio formation
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3.
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Johannes, Michael S.
Columbia Business School - Finance and Economics Polson, Nick
University of Chicago - Booth School of Business Stroud, Jonathan R.
University of Pennsylvania - Statistics Department
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853
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28
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4.
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Understanding Index Option Returns
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Broadie, Mark
Columbia University - Columbia Business School - Decision Risk and Operations Chernov, Mikhail
London School of Economics Johannes, Michael S.
Columbia Business School - Finance and Economics
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Posted:
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28 Feb 07
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Last Revised:
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25 Jul 11
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748
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33
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Broadie, Mark
Columbia University - Columbia Business School - Decision Risk and Operations Chernov, Mikhail
London School of Economics Johannes, Michael S.
Columbia Business School - Finance and Economics
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1
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33
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jump risk premia, jump-diffusion models, options returns, put pricing puzzle
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Broadie, Mark
Columbia University - Columbia Business School - Decision Risk and Operations Johannes, Michael S.
Columbia Business School - Finance and Economics Chernov, Mikhail
London School of Economics
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747
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33
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put pricing puzzle, option returns, jump-diffusion models, risk premia
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5.
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The Impact of Jumps in Volatility and Returns
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Versions (2)
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Johannes, Michael S.
Columbia Business School - Finance and Economics Eraker, Bjorn
University of Wisconsin - Madison - Department of Finance, Investment and Banking Polson, Nick
University of Chicago - Booth School of Business
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Posted:
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01 Jan 01
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Last Revised:
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25 Jul 11
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771
(13,905)
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288
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Eraker, Bjorn
University of Wisconsin - Madison - Department of Finance, Investment and Banking Johannes, Michael S.
Columbia Business School - Finance and Economics Polson, Nick
University of Chicago - Booth School of Business
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0
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Johannes, Michael S.
Columbia Business School - Finance and Economics Eraker, Bjorn
University of Wisconsin - Madison - Department of Finance, Investment and Banking Polson, Nick
University of Chicago - Booth School of Business
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771
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288
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Jumps, Stochastic Volatility, Continuous-Time Econometrics, Option Pricing, Market Stress
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6.
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Johannes, Michael S.
Columbia Business School - Finance and Economics Sundaresan, Suresh M.
Columbia Business School - Finance and Economics
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685
(16,495)
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5
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Collateral, Interest Rate Swaps, Default
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7.
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Johannes, Michael S.
Columbia Business School - Finance and Economics Dubinsky, Andrew L.
Columbia University - Columbia Business School
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676
(16,842)
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3
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8.
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Johannes, Michael S.
Columbia Business School - Finance and Economics Polson, Nick
University of Chicago - Booth School of Business
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500
(25,482)
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6
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Sequential learning, filtering, stochastic volatility, Kalman filter
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9.
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Johannes, Michael S.
Columbia Business School - Finance and Economics Stroud, Jonathan R.
University of Pennsylvania - Statistics Department Polson, Nick
University of Chicago - Booth School of Business
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497
(25,685)
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6
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Filtering, Stochastic Differential Equations, Jumps, Option Pricing, Volatility
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10.
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Broadie, Mark
Columbia University - Columbia Business School - Decision Risk and Operations Johannes, Michael S.
Columbia Business School - Finance and Economics Chernov, Mikhail
London School of Economics
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447
(29,536)
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100
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11.
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Johannes, Michael S.
Columbia Business School - Finance and Economics
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317
(45,187)
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7
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12.
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Johannes, Michael S.
Columbia Business School - Finance and Economics Lochstoer, Lars A.
Columbia Business School - Finance and Economics Mou, Yiqun
Columbia Business School
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17 Mar 10
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Last Revised:
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25 Jul 11
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259
(56,949)
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4
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13.
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Johannes, Michael S.
Columbia Business School - Finance and Economics Polson, Nick
University of Chicago - Booth School of Business Yae, Seung M.
University of Chicago - Booth School of Business
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93
(142,021)
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Quantile, LAD, Particle Filtering, Particle Learning, Bayes Factor
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14.
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Johannes, Michael S.
Columbia Business School - Finance and Economics Polson, Nick
University of Chicago - Booth School of Business Yae, Seung M.
University of Chicago - Booth School of Business
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69
(170,691)
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Monte Carlo, Particle Filtering, Particle Learning, Nonlinear State Space Model, Slice Variable
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15.
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Johannes, Michael S.
Columbia Business School - Finance and Economics Stroud, Jonathan R.
University of Pennsylvania - Statistics Department
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55
(191,823)
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16.
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Carvalho, Carlos
University of Texas at Austin - Red McCombs School of Business Johannes, Michael S.
Columbia Business School - Finance and Economics Lopes, Hedibert F.
University of Chicago - Booth School of Business Polson, Nick
University of Chicago - Booth School of Business
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22 Oct 11
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Last Revised:
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09 Nov 11
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55
(191,823)
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5
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17.
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Johannes, Michael S.
Columbia Business School - Finance and Economics Polson, Nick
University of Chicago - Booth School of Business Stroud, Jonathan R.
University of Pennsylvania - Statistics Department
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C11, C13, C15, C51, C52, G11, G12, G17
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