Michael Johannes
Affiliations: | Columbia University, New York, NY |
Area:
Finance, Theory EconomicsGoogle:
"Michael Johannes"Children
Sign in to add trainee| Andrew L. Dubinsky | grad student | 2008 | Columbia |
| Yiqun Mou | grad student | 2011 | Columbia |
| Damla Gunes | grad student | 2012 | Columbia |
| Ravindra Sastry | grad student | 2012 | Columbia |
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Publications
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| Dubinsky A, Johannes M, Kaeck A, et al. (2019) Option pricing of earnings announcement risks Review of Financial Studies. 32: 646-687 |
| Collin-Dufresne P, Johannes M, Lochstoer LA. (2017) Asset Pricing When 'This Time is Different' Review of Financial Studies. 30: 505-535 |
| Johannes M, Lochstoer LA, Mou Y. (2016) Learning about Consumption Dynamics: Learning about Consumption Dynamics Journal of Finance. 71: 551-600 |
| Johannes M, Korteweg A, Polson N. (2014) Sequential Learning, Predictability, and Optimal Portfolio Returns: Sequential Learning, Predictability, and Optimal Portfolio Returns Journal of Finance. 69: 611-644 |
| Carvalho CM, Johannes MS, Lopes HF, et al. (2010) Particle Learning and Smoothing Statistical Science. 25: 88-106 |
| Broadie M, Chernov M, Johannes M. (2007) Model Specification and Risk Premia: Evidence from Futures Options Journal of Finance. 62: 1453-1490 |
| Johannes M, Sundaresan S. (2007) The Impact of Collateralization on Swap Rates Journal of Finance. 62: 383-410 |
| Johannes M. (2004) The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models Journal of Finance. 59: 227-260 |
| Eraker B, Johannes M, Polson N. (2003) The Impact of Jumps in Volatility and Returns Journal of Finance. 58: 1269-1300 |