Michael S. Johannes

Columbia University - Columbia Business School, Finance

Assistant Professor

3022 Broadway

New York, NY 10027

United States

  • Columbia University - Columbia Business School, Finance

SCHOLARLY PAPERS

18

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Top 4,865

in Total Papers Downloads

12,107

SSRN CITATIONS
Rank 2,053

SSRN RANKINGS

Top 2,053

in Total Papers Citations

334

CROSSREF CITATIONS

288

Scholarly Papers (18)

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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
Columbia University - Columbia Business School, Finance and University of Chicago - Booth School of Business
Downloads 2,143 (10,078)
Citation 60

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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 University - Columbia Business School, Finance, University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads 1,585 (16,290)
Citation 42

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Learning, predictability, optimal portfolio formation

3.

Understanding Index Option Returns

Downloads 1,030 ( 22,568)
Citation 100

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 University - Columbia Business School, Finance and UCLA Anderson
Downloads 1,029 (30,423)
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 Columbia University - Columbia Business School, Finance
Downloads 1 (930,046)
Citation 28
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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 1,171 ( 25,619)
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
Columbia University - Columbia Business School, Finance, University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Chicago - Booth School of Business
Downloads 1,171 (25,205)
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, Columbia University - Columbia Business School, Finance 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 University - Columbia Business School, Finance, University of Chicago - Booth School of Business and McDonough School of Business, Georgetown University
Downloads 1,137 (26,732)
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
Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School, Finance
Downloads 890 (37,917)
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
Columbia University - Columbia Business School, Finance and Columbia University - Columbia Business School
Downloads 881 (38,451)
Citation 16

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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 University - Columbia Business School, Finance and University of Chicago - Booth School of Business
Downloads 631 (59,816)
Citation 11

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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 University - Columbia Business School, Finance, McDonough School of Business, Georgetown University and University of Chicago - Booth School of Business
Downloads 605 (63,115)
Citation 11

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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 University - Columbia Business School, Finance and UCLA Anderson
Downloads 516 (77,085)
Citation 115

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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 University - Columbia Business School, Finance, University of California, Los Angeles (UCLA) - Anderson School of Management and Columbia Business School
Downloads 438 (93,697)
Citation 28

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12.

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Downloads 13 (110,733)
Citation 69

Parameter Learning in General Equilibrium: The Asset Pricing Implications

NBER Working Paper No. w19705
Number of pages: 70 Posted: 10 Dec 2013 Last Revised: 07 May 2022
Pierre Collin-Dufresne, Michael S. Johannes and Lars A. Lochstoer
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 13 (788,753)
Citation 42

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13.

A Nonparametric View of the Role of Jumps to Interest Rates

Number of pages: 55 Posted: 10 Nov 2000
Michael S. Johannes
Columbia University - Columbia Business School, Finance
Downloads 347 (122,145)
Citation 8

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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 University - Columbia Business School, Finance, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 236 (181,077)

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15.

Quantile Filtering and Learning

Number of pages: 40 Posted: 21 Nov 2009
Michael S. Johannes, Nick Polson and James Yae
Columbia University - Columbia Business School, Finance, University of Chicago - Booth School of Business and University of Houston - C. T. Bauer College of Business
Downloads 199 (212,386)
Citation 1

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

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 University - Columbia Business School, Finance
Downloads 163 (252,137)
Citation 5

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17.

Sequential Inference for Nonlinear Models using Slice Variables

Number of pages: 35 Posted: 21 Nov 2009
Michael S. Johannes, Nick Polson and James Yae
Columbia University - Columbia Business School, Finance, University of Chicago - Booth School of Business and University of Houston - C. T. Bauer College of Business
Downloads 122 (316,156)
Citation 1

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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 University - Columbia Business School, Finance, 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