Concepedia

Michael Johannes

MJ

Statistics

Publications

32

Citations

5.1K

H-Index

23

Active since

2000

Affiliations

Columbia University(Current)

University of Chicago

University of California, Los Angeles

Woodlawn School

École Polytechnique Fédérale de Lausanne

Michael Johannes is an author at Columbia University specializing in business, financial economics, and economics.

Publications per year

2000–2018

32

Publications

32

The Impact of Jumps in Volatility and Returns

Bjørn Eraker, Michael Johannes, Nicholas Polson · The Journal of Finance · 2003 · 1.6K citations · Full text

, , +17

Model Specification and Risk Premia: Evidence from Futures Options

Mark Broadie, Mikhail Chernov, Michael Johannes · The Journal of Finance · 2007 · 675 citations · Full text

, , +17

The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models

Michael Johannes · The Journal of Finance · 2004 · 504 citations · Full text

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The Impact of Jumps in Volatility and Returns

Michael Johannes, Bjørn Eraker, Nick Polson · SSRN Electronic Journal · 2001 · 393 citations · Full text

, , +17

Sequential Learning, Predictability, and Optimal Portfolio Returns

Michael Johannes, Arthur G. Korteweg, Nicholas Polson · The Journal of Finance · 2013 · 226 citations

, , +17

1–5 of 32