Author Page for Michael S. Johannes

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 2,043 (6,822)

Citation 77

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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 1,518 (11,206)

Citation 52

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3.

Understanding Index Option Returns

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Citation 49

2

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 915 (23,882)

Citation 7

Abstract:

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 (675,558)

Citation 85

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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 1,055 (19,669)

Citation 41

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5.

The Impact of Jumps in Volatility and Returns

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Citation 263

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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 263

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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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 853 (26,844)

Citation 4

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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 823 (28,244)

Citation 8

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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 602 (43,123)

Citation 14

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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 564 (46,961)

Citation 8

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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 492 (55,766)

Citation 209

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11.

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 400 (71,820)

Citation 18

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12.

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 341 (86,481)

Citation 9

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13.

Parameter Learning in General Equilibrium: The Asset Pricing Implications

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Citation 19

1

Parameter Learning in General Equilibrium: The Asset Pricing Implications

NBER Working Paper No. w19705

Number of pages: 70 Posted: 10 Dec 2013 Last Revised: 13 Dec 2013

Pierre Collin-Dufresne, Michael S. Johannes and Lars A. Lochstoer

Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of California, Los Angeles (UCLA) - Anderson School of Management

Downloads 9 (605,385)

Citation 38

Abstract:

14.

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

Downloads 219 (137,626)

Citation 11

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15.

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 177 (167,593)

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16.

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 151 (192,060)

Citation 3

Abstract:

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 111 (243,600)

Abstract:

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

Michael S. Johannes

Columbia Business School - Finance and Economics

Assistant Professor

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Scholarly Papers (18)

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Understanding Index Option Returns

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