Michael S. Johannes

Graduate School of Business, Columbia University

Ann Kaplan Professor of Finance

3022 Broadway

New York, NY 10027

United States

  • Graduate School of Business, Columbia University

SCHOLARLY PAPERS

21

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Top 2,224

in Total Papers Citations

576

Scholarly Papers (21)

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1.

MCMC Methods for Continuous-Time Financial Econometrics

Number of pages: 96 Posted: 27 Dec 2003
Michael S. Johannes and Nick Polson
Graduate School of Business, Columbia University and University of Chicago - Booth School of Business
Downloads 2,421 (12,703)
Citation 63

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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
Graduate School of Business, Columbia University, University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads 1,672 (22,832)
Citation 42

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Learning, predictability, optimal portfolio formation

3.

Understanding Index Option Returns

Downloads 1,176 (23,347)
Citation 31

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, Graduate School of Business, Columbia University and UCLA Anderson
Downloads 1,175 (37,891)
Citation 5

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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 Graduate School of Business, Columbia University
Downloads 1 (1,362,327)
Citation 26
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jump risk premia, jump-diffusion models, options returns, put pricing puzzle

4.

The Impact of Jumps in Volatility and Returns

Downloads 1,404 (29,724)
Citation 52

The Impact of Jumps in Volatility and Returns

Number of pages: 47 Posted: 01 Jan 2001
Michael S. Johannes, Bjorn Eraker and Nick Polson
Graduate School of Business, Columbia University, University of Wisconsin-Madison - Department of Finance, Investment and Banking and University of Chicago - Booth School of Business
Downloads 1,404 (29,217)
Citation 52

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

The Impact of Jumps in Volatility and Returns

Posted: 31 Aug 2003
Bjorn Eraker, Michael S. Johannes and Nick Polson
University of Wisconsin-Madison - Department of Finance, Investment and Banking, Graduate School of Business, Columbia University 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
Graduate School of Business, Columbia University, University of Chicago - Booth School of Business and McDonough School of Business, Georgetown University
Downloads 1,195 (37,567)
Citation 43

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6.

Pricing Collateralized Swaps

Number of pages: 49 Posted: 11 Jun 2003
Michael S. Johannes and Suresh M. Sundaresan
Graduate School of Business, Columbia University and Columbia University - Columbia Business School, Finance
Downloads 1,090 (43,069)
Citation 6

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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
Graduate School of Business, Columbia University and Columbia University - Columbia Business School
Downloads 1,049 (45,492)
Citation 18

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8.

Expected 1DTE Option Returns

Columbia Business School Research Paper No. 4729757
Number of pages: 47 Posted: 14 Mar 2024
Michael S. Johannes, Andreas Kaeck, Norman Seeger and Neel Shah
Graduate School of Business, Columbia University, University of Sussex, VU Amsterdam - School of Business and Economics and Columbia University - Columbia Business School
Downloads 1,013 (47,846)
Citation 1

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1DTE, short-term options, expected option returns, variance risk premium, macroeconomic announcements

9.

Particle Filtering and Parameter Learning

Number of pages: 39 Posted: 02 May 2007
Michael S. Johannes and Nick Polson
Graduate School of Business, Columbia University and University of Chicago - Booth School of Business
Downloads 705 (77,690)
Citation 3

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Sequential learning, filtering, stochastic volatility, Kalman filter

10.

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
Graduate School of Business, Columbia University, McDonough School of Business, Georgetown University and University of Chicago - Booth School of Business
Downloads 659 (84,664)
Citation 11

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

11.

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, Graduate School of Business, Columbia University and UCLA Anderson
Downloads 577 (100,288)
Citation 164

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12.

FOMC Announcement Event Risk

Number of pages: 66 Posted: 25 Jun 2023 Last Revised: 05 Nov 2024
Michael S. Johannes, Andreas Kaeck and Norman Seeger
Graduate School of Business, Columbia University, University of Sussex and VU Amsterdam - School of Business and Economics
Downloads 557 (104,807)

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FOMC announcements, macroeconomic announcements, announcement risk

13.

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
Graduate School of Business, Columbia University, University of California, Los Angeles (UCLA) - Anderson School of Management and Columbia Business School
Downloads 477 (126,693)
Citation 42

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14.

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Downloads 34 (127,949)
Citation 81

Parameter Learning in General Equilibrium: The Asset Pricing Implications

NBER Working Paper No. w19705
Number of pages: 70 Posted: 10 Dec 2013 Last Revised: 06 May 2023
Pierre Collin-Dufresne, Michael S. Johannes and Lars A. Lochstoer
Ecole Polytechnique Fédérale de Lausanne, Graduate School of Business, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 34 (975,730)
Citation 81

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15.

A Nonparametric View of the Role of Jumps to Interest Rates

Number of pages: 55 Posted: 10 Nov 2000
Michael S. Johannes
Graduate School of Business, Columbia University
Downloads 379 (165,431)
Citation 8

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16.

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 - McCombs School of Business, Graduate School of Business, Columbia University, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 323 (196,851)
Citation 4

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17.

Quantile Filtering and Learning

Number of pages: 40 Posted: 21 Nov 2009
Michael S. Johannes, Nick Polson and James Yae
Graduate School of Business, Columbia University, University of Chicago - Booth School of Business and University of Houston - C. T. Bauer College of Business
Downloads 251 (255,867)
Citation 1

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

18.

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 Graduate School of Business, Columbia University
Downloads 207 (308,060)
Citation 5

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19.

Sequential Inference for Nonlinear Models using Slice Variables

Number of pages: 35 Posted: 21 Nov 2009
Michael S. Johannes, Nick Polson and James Yae
Graduate School of Business, Columbia University, University of Chicago - Booth School of Business and University of Houston - C. T. Bauer College of Business
Downloads 199 (319,622)
Citation 1

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

20.

Time-Varying Macroeconomic Announcement Risk

Georgetown McDonough School of Business Research Paper No. 4211870
Number of pages: 60 Posted: 19 Sep 2022 Last Revised: 17 Oct 2022
Michael S. Johannes, Norman Seeger and Jonathan R Stroud
Graduate School of Business, Columbia University, VU Amsterdam - School of Business and Economics and McDonough School of Business, Georgetown University
Downloads 134 (448,227)

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announcement volatility; event risk; time variation; high-frequency data

21.

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

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