Author Page for Nick Polson

Columbia Business School - Finance and Economics, University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business

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Citation 9

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The Impact of Jumps in Volatility and Returns

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Citation 286

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The Impact of Jumps in Volatility and Returns

Number of pages: 47 Posted: 01 Jan 2001

Michael S. Johannes, Bjorn Eraker and Nick Polson

Columbia Business School - Finance and Economics, University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Chicago - Booth School of Business

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Citation 286

Abstract:

The Impact of Jumps in Volatility and Returns

Journal of Finance, Vol. 58, pp. 1269-1300, June 2003

Posted: 31 Aug 2003

Bjorn Eraker, Michael S. Johannes and Nick Polson

University of Wisconsin - Madison - Department of Finance, Investment and Banking, Columbia Business School - Finance and Economics and University of Chicago - Booth School of Business

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5.

Sequential Optimal Portfolio Performance: Market and Volatility Timing

Number of pages: 48 Posted: 24 Mar 2002

Michael S. Johannes, Nick Polson and Jonathan R Stroud

Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and McDonough School of Business, Georgetown University

Downloads 922 (18,774)

Citation 28

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6.

Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails

Boston College Finance Dept. Working Paper

Number of pages: 31 Posted: 16 Jul 2001

Eric Jacquier, Peter E. Rossi and Nick Polson

Boston University School of Management, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Chicago - Booth School of Business

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Citation 59

Abstract:

7.

Particle Filtering and Parameter Learning

Number of pages: 39 Posted: 02 May 2007

Michael S. Johannes and Nick Polson

Columbia Business School - Finance and Economics and University of Chicago - Booth School of Business

Downloads 543 (39,660)

Citation 7

Abstract:

8.

Nonlinear Filtering of Stochastic Differential Equations with Jumps

Number of pages: 44 Posted: 15 Oct 2002

Michael S. Johannes, Jonathan R Stroud and Nick Polson

Columbia Business School - Finance and Economics, McDonough School of Business, Georgetown University and University of Chicago - Booth School of Business

Downloads 525 (43,397)

Citation 6

Abstract:

9.

Tracking Flu Epidemics Using Google Flu Trends and Particle Learning

Number of pages: 33 Posted: 27 Nov 2009 Last Revised: 27 Oct 2012

Vanja M. Dukic, Hedibert F. Lopes and Nick Polson

University of Chicago, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

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10.

Particle Learning and Smoothing

Statistical Science, Vol. 25, No. 1, pp. 88-106, 2010

Number of pages: 19 Posted: 22 Oct 2011 Last Revised: 09 Nov 2011

Carlos M. Carvalho, Michael S. Johannes, Hedibert F. Lopes and Nick Polson

University of Texas at Austin - Red McCombs School of Business, Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

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Citation 6

Abstract:

11.

Quantile Filtering and Learning

Number of pages: 40 Posted: 21 Nov 2009

Michael S. Johannes, Nick Polson and Seung M. Yae

Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Downloads 118 (165,383)

Abstract:

12.

Sequential Inference for Nonlinear Models using Slice Variables

Number of pages: 35 Posted: 21 Nov 2009

Michael S. Johannes, Nick Polson and Seung M. Yae

Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Downloads 90 (227,428)

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13.

Sparse Regularization in Marketing and Economics

Number of pages: 29 Posted: 20 Aug 2017 Last Revised: 10 Feb 2018

Guanhao Feng, Nick Polson, Yuexi Wang and Jianeng Xu

City University of Hong Kong (CityUHK), University of Chicago - Booth School of Business, University of Chicago, Students and University of Chicago, Students

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14.

Deep Learning for Finance: Deep Portfolios

Number of pages: 15 Posted: 14 Sep 2016 Last Revised: 15 Mar 2018

J.B. Heaton, Nick Polson and Jan Witte

Conjecture LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics

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Abstract:

15.

Regularizing Bayesian Predictive Regressions

Number of pages: 35 Posted: 17 Aug 2016 Last Revised: 15 Sep 2017

Guanhao Feng and Nick Polson

City University of Hong Kong (CityUHK) and University of Chicago - Booth School of Business

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16.

Why Indexing Works

Number of pages: 7 Posted: 14 Oct 2015 Last Revised: 15 Mar 2018

J.B. Heaton, Nick Polson and Jan Witte

Conjecture LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics

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17.

Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices

The Review of Financial Studies, Vol. 22, Issue 7, pp. 2559-2599, 2009

Posted: 22 Jun 2009

Michael S. Johannes, Nick Polson and Jonathan R Stroud

Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and McDonough School of Business, Georgetown University

Nick Polson

University of Chicago - Booth School of Business

Associate Professor of Statistics

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Scholarly Papers (17)

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