Jonathan R Stroud

McDonough School of Business, Georgetown University

Associate Professor

3700 O Street NW

Washington, DC 20057

United States

http://jonathanrstroud.com

SCHOLARLY PAPERS

6

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SSRN CITATIONS
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Top 5,408

in Total Papers Citations

24

CROSSREF CITATIONS

180

Scholarly Papers (6)

1.

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 1,070 (20,764)
Citation 40

Abstract:

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2.

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 576 (49,131)
Citation 9

Abstract:

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

3.

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 152 (203,567)
Citation 4

Abstract:

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A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

NBER Working Paper No. w10934
Number of pages: 50 Posted: 15 Dec 2004 Last Revised: 14 Aug 2009
Duke University - Fuqua School of Business, University of Lausanne, New University of Lisbon - Nova School of Business and Economics and McDonough School of Business, Georgetown University
Downloads 92 (296,575)
Citation 16

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A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

The Review of Financial Studies, Vol. 18, Issue 3, pp. 831-873, 2005
Posted: 29 Feb 2008
Duke University - Fuqua School of Business, University of Lausanne, New University of Lisbon - Nova School of Business and Economics and McDonough School of Business, Georgetown University

Abstract:

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time optimal control problems, Neumann parabolic equations with an infinite number of variables, Dubovitskii-Milyutin theorem, conical approximations, optimality conditions, Weierstrass theorem

5.

Monetary Policy in a Fixed Exchange Rate Regime: Structural Vector Autoregressions with Jumps

Georgetown McDonough School of Business Research Paper No. 3492967
Number of pages: 29 Posted: 12 Dec 2019
Jonathan R Stroud and Hang Zhou
McDonough School of Business, Georgetown University and University of International Business and Economics (UIBE) - School of Banking and Finance
Downloads 13 (592,236)

Abstract:

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Monetary Policy, Fixed Exchange Rate, Jumps, Bayesian VAR

6.

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:

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