| The impact of jumps in volatility and returns B Eraker, M Johannes, N Polson The Journal of Finance 58 (3), 1269-1300, 2003 | 2134* | 2003 |
| Model specification and risk premia: Evidence from futures options M Broadie, M Chernov, M Johannes The Journal of Finance 62 (3), 1453-1490, 2007 | 776 | 2007 |
| The statistical and economic role of jumps in continuous‐time interest rate models M Johannes The Journal of finance 59 (1), 227-260, 2004 | 674 | 2004 |
| MCMC methods for continuous-time financial econometrics M Johannes, N Polson Handbook of financial econometrics: Applications, 1-72, 2010 | 499 | 2010 |
| Particle learning and smoothing CM Carvalho, MS Johannes, HF Lopes, NG Polson | 492 | 2010 |
| Understanding index option returns M Broadie, M Chernov, M Johannes The Review of Financial Studies 22 (11), 4493-4529, 2009 | 385 | 2009 |
| Optimal filtering of jump diffusions: Extracting latent states from asset prices MS Johannes, NG Polson, JR Stroud The Review of Financial Studies 22 (7), 2759-2799, 2009 | 324* | 2009 |
| Parameter learning in general equilibrium: The asset pricing implications P Collin-Dufresne, M Johannes, LA Lochstoer American Economic Review 106 (3), 664-698, 2016 | 294 | 2016 |
| Sequential learning, predictability, and optimal portfolio returns M Johannes, A Korteweg, N Polson The Journal of Finance 69 (2), 611-644, 2014 | 275 | 2014 |
| Option pricing of earnings announcement risks A Dubinsky, M Johannes, A Kaeck, NJ Seeger The Review of Financial Studies 32 (2), 646-687, 2019 | 221* | 2019 |
| The impact of collateralization on swap rates M Johannes, S Sundaresan The Journal of Finance 62 (1), 383-410, 2007 | 174* | 2007 |
| Learning about consumption dynamics M Johannes, LA Lochstoer, Y Mou The Journal of finance 71 (2), 551-600, 2016 | 145 | 2016 |
| MCMC maximum likelihood for latent state models E Jacquier, M Johannes, N Polson Journal of Econometrics 137 (2), 615-640, 2007 | 141 | 2007 |
| Asset pricing when ‘this time is different’ P Collin-Dufresne, M Johannes, LA Lochstoer The Review of Financial Studies 30 (2), 505-535, 2017 | 97 | 2017 |
| Sequential optimal portfolio performance: Market and volatility timing MS Johannes, N Polson, JR Stroud Available at SSRN 304976, 2002 | 90 | 2002 |
| Particle learning for sequential Bayesian computation J Bernardo, M Bayarri, J Berger, A Dawid, D Heckerman, A Smith, M West Bayesian statistics 9 (9), 317, 2011 | 86 | 2011 |
| Particle filtering M Johannes, N Polson Handbook of financial time series, 1015-1029, 2009 | 58 | 2009 |
| State dependent jump models: How do US equity indices jump M Johannes, R Kumar, NG Polson Woking Paper, University of Chicago, 1999 | 56 | 1999 |
| Bayesian modeling and forecasting of 24-hour high-frequency volatility JR Stroud, MS Johannes Journal of the American Statistical Association 109 (508), 1368-1384, 2014 | 55* | 2014 |
| Sequential parameter estimation in stochastic volatility models with jumps M Johannes, N Polson, J Stroud Wharton School, University of Pennsylvania, Philadelphia, PA, 2006 | 35 | 2006 |
Nick PolsonProfessor of Econometrics and Statistics, University of ChicagoEmail verificata su chicagobooth.edu
