Michael Johannes
Professor
BS, Marquette, 1995; MA, University of Chicago, 2000; PhD, 2000
Year joined: 2000
E-mail: mj335@columbia.edu
Journal articles
"Particle Learning and Smoothing"
Statistical Science
(2010)
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"Understanding index option returns"
Review of Financial Studies
(2009)
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"Model specification and risk premia: Evidence from futures options"
Journal of Finance
(2007)
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"The Impact of Jumps in Equity Index Volatility and Returns"
Journal of Finance
(2003)
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Working papers
"Learning about Consumption Dynamics"
Working paper
(2011)
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"The Asset Pricing Implications of Priced Structural Parameter Uncertainty"
Working Paper
(2011)
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"Sequential learning, predictive regressions, and optimal portfolio returns"
(2008)
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"The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models"
Working Paper
(2004)
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"Sequential Parameter Estimation in Stochastic Volatility Jump-Diffusion Models"
(2003)
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"Pricing Collateralized Swaps"
(2003)
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"Nonlinear Filtering of Stochastic Differential Equations with Jumps"
(2002)
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"MCMC Methods for Financial Econometrics"
(2002)
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"Sequential Optimal Portfolio Performance: Market and Volatility Timing"
(2002)
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"State Dependent Jump Models: How Do U.S. Equity Markets Jump?"
Working paper
(1999)
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Chapters
"Particle Learning for Sequential Bayesian Computation"
Bayesian Statistics 9
(2011)
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"Bayesian computation in finance"
Frontiers of Statistical Decision Making and Bayesian Analysis
(2010)
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