Concepedia

Michael Johannes

MJ

Statistics

Publications

32

Citations

5.1K

H-Index

23

Active since

2000

Affiliations

Columbia University(Current)

University of Chicago

Anderson University - South Carolina

École Polytechnique Fédérale de Lausanne

Swiss Finance Institute

Michael Johannes is an author at Columbia University specializing in finance, asset pricing, and business.

Top concepts

FinanceBusinessAsset PricingFinancial EconomicsEconomicsStatisticsEconometricsEconomic AnalysisOption PricingEngineering

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

Spot Volatility, Volatility Modeling, Engineering +17

Model Specification and Risk Premia: Evidence from Futures Options

Mark Broadie, Mikhail Chernov, Michael Johannes · The Journal of Finance · 2007 · 664 citations

Volatility Modeling, Engineering, Financial Risk Management +16

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

Michael Johannes · The Journal of Finance · 2004 · 503 citations · Full text

Term Structure Model, Engineering, Economic Role +19

The Impact of Jumps in Volatility and Returns

Michael Johannes, Bjørn Eraker, Nick Polson · SSRN Electronic Journal · 2001 · 392 citations · Full text

Sequential Learning, Predictability, and Optimal Portfolio Returns

Michael Johannes, Arthur G. Korteweg, Nicholas Polson · The Journal of Finance · 2013 · 224 citations

Sequential Learning, Asset Allocation, Portfolio Management +19

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