Michael Johannes

Professor

Finance and Economics

BS, Marquette, 1995; MA, University of Chicago, 2000; PhD, 2000

Joined CBS in 2000

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Michael Johannes

Office
424 Uris

Phone
212-854-0110

E-mail
mj335@columbia.edu

Fax
212-316-9180

Teaching and research interest

Professor Johannes’s research analyzes the empirical content of fixed-income and derivative securities pricing models. He is particularly interested in developing econometric methods to investigate models with jumps and stochastic volatility. Johannes teaches the elective Capital Markets and Investments.

Chapters

Particle Learning for Sequential Bayesian Computation In Bayesian Statistics 9 (2011)
Author(s): Michael Johannes, Carlos Carvalho, Hedibert Lopes, Nicholas Polson

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Bayesian computation in finance In Frontiers of Statistical Decision Making and Bayesian Analysis (2010)
Author(s): Satadru Hore, Michael Johannes, Hedibert Lopes, Robert McColluch, Nicholas Polson

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MCMC Methods for Financial Econometrics In Handbook of Financial Econometrics Vol. 2 (2009)
Author(s): Michael Johannes, Nicholas Polson

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Particle Filtering In Handbook of Financial Time Series (2009)
Author(s): Michael Johannes, Nicholas Polson

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Journal articles

Sequential learning, predictability, and optimal portfolio returns In Journal of Finance (2014)
Author(s): Michael Johannes, Arthur Korteweg, Nicholas Polson

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Particle Learning and Smoothing In Statistical Science (2010)
Author(s): Michael Johannes, Carlos Carvalho, Hedibert Lopes, Nicholas Polson

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Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices In The Review of Financial Studies (2009)
Author(s): Michael Johannes, Nicholas Polson, Jonathan Stroud

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Understanding index option returns In Review of Financial Studies (2009)
Author(s): Mark Broadie, Mikhail Chernov, Michael Johannes

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MCMC Maximum Likelihood for Latent State Models In Journal of Econometrics (2007)
Author(s): Eric Jacquier, Michael Johannes, Nicholas Polson

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The Impact of Collateralization on Swap Rates In The Journal of Finance (2007)
Author(s): Michael Johannes, M. Suresh Sundaresan

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Model specification and risk premia: Evidence from futures options In Journal of Finance (2007)
Author(s): Mark Broadie, Mikhail Chernov, Michael Johannes

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The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models In The Journal of Finance (2004)
Author(s): Michael Johannes

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The Impact of Jumps in Equity Index Volatility and Returns In Journal of Finance (2003)
Author(s): Bjørn Eraker, Michael Johannes, Nicholas Polson

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Working Papers

Robust Filtering and Learning (2013)
Author(s): Michael Johannes, Nicholas Polson, Seung Yae

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Volatility around the clock: Bayesian modeling and forecasting of intraday volatility in the financial crisis (2013)
Author(s): Michael Johannes, Jonathan Stroud

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Learning about Consumption Dynamics Working paper (2011)
Author(s): Michael Johannes, Lars Lochstoer, Yiqun Mou

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The Asset Pricing Implications of Priced Structural Parameter Uncertainty Working Paper (2011)
Author(s): Michael Johannes, Lars Lochstoer, Pierre Collin-Dufresne

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MCMC Methods for Expected Utility Calculations (2011)
Author(s): Eric Jacquier, Michael Johannes, Nicholas Polson

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Exact Particle Filtering and Parameter Learning (2006)
Author(s): Michael Johannes, Nicholas Polson

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