M
Michael Johannes
Researcher at Columbia University
Publications - 52
Citations - 6462
Michael Johannes is an academic researcher from Columbia University. The author has contributed to research in topics: Volatility (finance) & Stochastic volatility. The author has an hindex of 28, co-authored 50 publications receiving 6103 citations.
Papers
More filters
Journal ArticleDOI
The Impact of Jumps in Volatility and Returns
TL;DR: In this paper, the authors examined continuous-time stochastic volatility models incorporating jumps in returns and volatility and developed a likelihood-based estimation strategy and provided estimates of parameters, spot volatility, jump times, and jump sizes using S&P 500 and Nasdaq 100 index returns.
Journal ArticleDOI
The Impact of Jumps in Volatility and Returns
TL;DR: In this article, the authors examined a class of continuous-time models that incorporate jumps in returns and volatility, in addition to diffusive stochastic volatility, and developed a likelihood-based estimation strategy and provided estimates of model parameters, spot volatility, jump times and jump sizes using both S&P 500 and Nasdaq 100 index returns.
Journal ArticleDOI
Model specification and risk premia: evidence from futures options
TL;DR: In this paper, the authors examined model specification issues and estimates diffusive and jump risk premia using S&P futures option prices from 1987 to 2003, and developed a time series test to detect the presence of jumps in volatility and find strong evidence in support of their presence.
Journal ArticleDOI
The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models
TL;DR: In this paper, the role of jumps in continuous-time short rate models is analyzed and a nonparametric jump-diffusion model is proposed to detect jump-induced misspecification.
Posted Content
Particle Learning and Smoothing
TL;DR: In a number of examples, it is shown that PL outperforms existing particle filtering alternatives and proves to be a competitor to MCMC.