Michael S. Johannes

Columbia Business School - Finance and Economics

Assistant Professor

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 2,782

SSRN RANKINGS

Top 2,782

in Total Papers Downloads

10,503

CITATIONS
Rank 962

SSRN RANKINGS

Top 962

in Total Papers Citations

559

Scholarly Papers (18)

1.

MCMC Methods for Continuous-Time Financial Econometrics

Number of pages: 96 Posted: 27 Dec 2003
Michael S. Johannes and Nick Polson
Columbia Business School - Finance and Economics and University of Chicago - Booth School of Business
Downloads 1,730 (5,955)
Citation 58

Abstract:

2.

Sequential Learning, Predictability, and Optimal Portfolio Returns

Journal of Finance, Forthcoming, AFA 2009 San Francisco Meetings Paper
Number of pages: 58 Posted: 25 Mar 2008 Last Revised: 04 Apr 2013
Michael S. Johannes, Arthur G. Korteweg and Nick Polson
Columbia Business School - Finance and Economics, University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads 1,241 (10,072)
Citation 9

Abstract:

Learning, predictability, optimal portfolio formation

3.
Downloads 867 ( 17,480)
Citation 37

Understanding Index Option Returns

AFA 2008 New Orleans Meetings Paper
Number of pages: 51 Posted: 28 Feb 2007
Mark Broadie, Michael S. Johannes and Mikhail Chernov
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School - Finance and Economics and UCLA Anderson
Downloads 866 (20,470)
Citation 37

Abstract:

put pricing puzzle, option returns, jump-diffusion models, risk premia

Understanding Index Option Returns

CEPR Discussion Paper No. DP6239
Number of pages: 54 Posted: 21 May 2008
Mark Broadie, Mikhail Chernov and Michael S. Johannes
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia Business School - Finance and Economics
Downloads 1 (564,280)
Citation 37

Abstract:

jump risk premia, jump-diffusion models, options returns, put pricing puzzle

4.

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 (17,480)
Citation 28

Abstract:

5.
Downloads 891 ( 20,030)
Citation 283

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
Downloads 891 (19,651)
Citation 283

Abstract:

Jumps, Stochastic Volatility, Continuous-Time Econometrics, Option Pricing, Market Stress

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

Abstract:

6.

Pricing Collateralized Swaps

Number of pages: 49 Posted: 11 Jun 2003
Michael S. Johannes and Suresh M. Sundaresan
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 760 (23,024)
Citation 5

Abstract:

Collateral, Interest Rate Swaps, Default

7.

Earnings Announcements and Option Prices

Number of pages: 64 Posted: 05 Oct 2004
Michael S. Johannes and Andrew L. Dubinsky
Columbia Business School - Finance and Economics and Columbia University - Columbia Business School
Downloads 747 (24,091)
Citation 3

Abstract:

8.

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 (36,840)
Citation 7

Abstract:

Sequential learning, filtering, stochastic volatility, Kalman filter

9.

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 (39,916)
Citation 6

Abstract:

Filtering, Stochastic Differential Equations, Jumps, Option Pricing, Volatility

10.

Model Specification and Risk Premia: Evidence from Futures Options

Number of pages: 71 Posted: 20 Feb 2004
Mark Broadie, Michael S. Johannes and Mikhail Chernov
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School - Finance and Economics and UCLA Anderson
Downloads 463 (47,424)
Citation 97

Abstract:

11.

A Nonparametric View of the Role of Jumps to Interest Rates

Number of pages: 55 Posted: 10 Nov 2000
Michael S. Johannes
Columbia Business School - Finance and Economics
Downloads 327 (72,252)
Citation 8

Abstract:

12.

Learning about Consumption Dynamics

Journal of Finance, Forthcoming
Number of pages: 71 Posted: 17 Mar 2010 Last Revised: 29 Jan 2016
Michael S. Johannes, Lars A. Lochstoer and Yiqun Mou
Columbia Business School - Finance and Economics, University of California, Los Angeles (UCLA) - Anderson School of Management and Columbia Business School
Downloads 322 (60,222)
Citation 6

Abstract:

Parameter Learning in General Equilibrium: The Asset Pricing Implications

NBER Working Paper No. w19705
Number of pages: 70 Posted: 10 Dec 2013
Pierre Collin-Dufresne, Michael S. Johannes and Lars A. Lochstoer
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 7 (526,490)
Citation 9

Abstract:

14.

Bayesian Modeling and Forecasting of 24-Hour High-Frequency Volatility

Number of pages: 50 Posted: 14 Nov 2012 Last Revised: 04 Oct 2014
Jonathan R Stroud and Michael S. Johannes
McDonough School of Business, Georgetown University and Columbia Business School - Finance and Economics
Downloads 132 (163,995)

Abstract:

15.

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
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
Downloads 122 (128,021)
Citation 6

Abstract:

16.

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 (168,757)

Abstract:

Quantile, LAD, Particle Filtering, Particle Learning, Bayes Factor

17.

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 (218,615)

Abstract:

Monte Carlo, Particle Filtering, Particle Learning, Nonlinear State Space Model, Slice Variable

18.

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

Abstract:

C11, C13, C15, C51, C52, G11, G12, G17