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Michael Johannes - Publications

Affiliations: 
Columbia University, New York, NY 
Area:
Finance, Theory Economics
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9 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2019 Dubinsky A, Johannes M, Kaeck A, Seeger NJ. Option pricing of earnings announcement risks Review of Financial Studies. 32: 646-687. DOI: 10.1093/Rfs/Hhy060  0.412
2017 Collin-Dufresne P, Johannes M, Lochstoer LA. Asset Pricing When 'This Time is Different' Review of Financial Studies. 30: 505-535. DOI: 10.1093/Rfs/Hhw084  0.423
2016 Johannes M, Lochstoer LA, Mou Y. Learning about Consumption Dynamics: Learning about Consumption Dynamics Journal of Finance. 71: 551-600. DOI: 10.1111/Jofi.12246  0.383
2014 Johannes M, Korteweg A, Polson N. Sequential Learning, Predictability, and Optimal Portfolio Returns: Sequential Learning, Predictability, and Optimal Portfolio Returns Journal of Finance. 69: 611-644. DOI: 10.1111/Jofi.12121  0.405
2010 Carvalho CM, Johannes MS, Lopes HF, Polson NG. Particle Learning and Smoothing Statistical Science. 25: 88-106. DOI: 10.1214/10-Sts325  0.326
2007 Broadie M, Chernov M, Johannes M. Model Specification and Risk Premia: Evidence from Futures Options Journal of Finance. 62: 1453-1490. DOI: 10.2139/Ssrn.504642  0.35
2007 Johannes M, Sundaresan S. The Impact of Collateralization on Swap Rates Journal of Finance. 62: 383-410. DOI: 10.1111/J.1540-6261.2007.01210.X  0.311
2004 Johannes M. The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models Journal of Finance. 59: 227-260. DOI: 10.1111/J.1540-6321.2004.00632.X  0.344
2003 Eraker B, Johannes M, Polson N. The Impact of Jumps in Volatility and Returns Journal of Finance. 58: 1269-1300. DOI: 10.2139/Ssrn.249764  0.356
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