Michael J. Stutzer : Citation Profile


Are you Michael J. Stutzer?

University of Colorado

10

H index

10

i10 index

581

Citations

RESEARCH PRODUCTION:

22

Articles

9

Papers

3

Chapters

RESEARCH ACTIVITY:

   38 years (1980 - 2018). See details.
   Cites by year: 15
   Journals where Michael J. Stutzer has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 5 (0.85 %)

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   Permalink: http://citec.repec.org/pst891
   Updated: 2022-05-14    RAS profile: 2019-11-12    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Michael J. Stutzer.

Is cited by:

Smith, Richard (13)

Hansen, Lars (12)

Judge, George (12)

Otsu, Taisuke (12)

Garcia, René (10)

Villeval, Marie Claire (8)

Lévy-Garboua, Louis (8)

Julliard, Christian (8)

Montmarquette, Claude (8)

Monfort, Alain (7)

Bourlès, Renaud (7)

Cites to:

Hansen, Lars (4)

Jagannathan, Ravi (3)

Volij, Oscar (3)

Dagan, Nir (3)

Litterman, Robert (2)

Sims, Christopher (2)

Imbens, Guido (2)

White, Halbert (2)

He, Hua (2)

Hodrick, Robert (2)

Bekaert, Geert (2)

Main data


Where Michael J. Stutzer has published?


Journals with more than one article published# docs
Quarterly Review4
Journal of Econometrics3
Journal of Financial Intermediation2
Economics Letters2

Working Papers Series with more than one paper published# docs
Staff Report / Federal Reserve Bank of Minneapolis7

Recent works citing Michael J. Stutzer (2021 and 2020)


YearTitle of citing document
2020Convex Optimization Over Risk-Neutral Probabilities. (2020). Boyd, Stephen ; Tuck, Jonathan ; Barratt, Shane. In: Papers. RePEc:arx:papers:2003.02878.

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2021A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2020Effective development banking: loans or guarantees?. (2020). Fernandez-Arias, Eduardo ; Fernandez -Arias, Eduardo ; Xu, Jiajun. In: Working Paper. RePEc:avg:wpaper:en11685.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Working Papers. RePEc:bfi:wpaper:2020-69.

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2021Model?Free International Stochastic Discount Factors. (2021). Vedolin, Andrea ; Trojani, Fabio ; Sandulescu, Mirela. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:935-976.

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2021Quasi?maximum likelihood and the kernel block bootstrap for nonlinear dynamic models. (2021). Parente, Paulo ; Smith, Richard J. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:4:p:377-405.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2236.

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2020A dynamically consistent discretization method for Goodwin model. (2020). Guzowska, M ; Grassetti, F ; michetti, e. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:130:y:2020:i:c:s0960077919303613.

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2020Tax evasion and financial development under asymmetric information in credit markets. (2020). Guo, Jang-Ting ; Hung, Fu-Sheng. In: Journal of Development Economics. RePEc:eee:deveco:v:145:y:2020:i:c:s0304387820300389.

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2021A unified entropic pricing framework of option: Using Cressie-Read family of divergences. (2021). Yu, Xisheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001157.

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2021Tail risk and investors’ concerns: Evidence from Brazil. (2021). Freire, Gustavo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001364.

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2020An alternative two-step generalized method of moments estimator based on a reduced form model. (2020). Kim, Doosoo. In: Economics Letters. RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301373.

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2020Nonparametric assessment of hedge fund performance. (2020). Garcia, René ; Ardison, Kym ; Almeida, Caio. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:349-378.

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2020Robust causality test of infinite variance processes. (2020). Taniguchi, Masanobu ; Akashi, Fumiya ; Monti, Anna Clara. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:235-245.

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2020Score tests in GMM: Why use implied probabilities?. (2020). Renault, Eric ; Chaudhuri, Saraswata. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:260-280.

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2021Generalized aggregation of misspecified models: With an application to asset pricing. (2021). Maasoumi, Esfandiar ; Gospodinov, Nikolay. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:451-467.

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2021Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models. (2021). Horowitz, Joel L. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:2:p:1057-1082.

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2020Accurate and robust inference. (2020). Ronchetti, Elvezio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:74-88.

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2020Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion. (2020). Yan, Shu ; Baptista, Alexandre M ; Alexander, Gordon J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619301669.

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2021Cooperative lenders and the performance of small business loans. (2021). Legendre, Nicolas ; Nitani, Miwako. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621000832.

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2021Index option returns and generalized entropy bounds. (2021). Liu, Yan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:1015-1036.

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2021Forward inflation expectations: Evidence from inflation caps and floors. (2021). Walker, Todd B ; Chipeniuk, Karsten O. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:70:y:2021:i:c:s0164070421000501.

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2020Persistence of averages in financial Markov Switching models: A large deviations approach. (2020). Stutzer, Michael. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:553:y:2020:i:c:s0378437120300595.

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2021Relative error accurate statistic based on nonparametric likelihood. (2020). Matsushita, Yukitoshi ; Camponovo, Lorenzo ; Otsu, Taisuke. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:107521.

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2022Information theoretic approach to high dimensional multiplicative models: stochastic discount factor and treatment effect. (2021). Otsu, Taisuke ; Qiu, Chen. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:110494.

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2021.

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2020Do Loan Guarantees Alleviate Credit Rationing and Improve Economic Welfare?. (2020). Ko, Po-Sheng ; Lee, Chien-Hui ; Wang, Yu-Lin. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:9:p:3922-:d:356523.

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2021On the resolution of cross-liabilities. (2021). Demange, Gabrielle. In: PSE Working Papers. RePEc:hal:psewpa:halshs-03151128.

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2020Resolution rules in a system of financially linked firms. (2020). Demange, Gabrielle. In: Working Papers. RePEc:hal:wpaper:hal-02502413.

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2021On the resolution of cross-liabilities. (2021). Demange, Gabrielle. In: Working Papers. RePEc:hal:wpaper:halshs-03151128.

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2020Modelling the Blind Principal Bid Mechanism: A Large Deviation Approach. (2020). Kakolyris, Andreas ; Giannikos, Christos I. In: International Journal of Business and Economics. RePEc:ijb:journl:v:19:y:2020:i:2:p:187-200.

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2020Bank Diversification and Focus in Disruptive Times: China, 2007–2018. (2020). Tortosa-Ausina, Emili ; Wu, Minzhi. In: Working Papers. RePEc:jau:wpaper:2020/21.

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2020Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators. (2020). Vigo Pereira, Caio ; Laurini, Marcio. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202014.

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2020The stock market’s reaction to macroeconomic news under ambiguity. (2020). Garcia-Feijoo, Luis ; Giannetti, Antoine ; Viale, Ariel M. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:1:d:10.1007_s11408-019-00342-3.

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2021A model-free approach to multivariate option pricing. (2021). Vanduffel, Steven ; Bondarenko, Oleg ; Bernard, Carole. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:2:d:10.1007_s11147-020-09172-2.

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2020Implicit Entropic Market Risk-Premium from Interest Rate Derivatives. (2020). Arismendi Zambrano, Juan ; Azevedo, R ; Arismendi-Zambrano, J. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n303-20.pdf.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Lars ; Chen, Xiaohong. In: NBER Working Papers. RePEc:nbr:nberwo:27257.

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2021Information content of the risk-free rate for the pricing kernel bound. (2021). Nozari, Milad. In: Journal of Asset Management. RePEc:pal:assmgt:v:22:y:2021:i:4:d:10.1057_s41260-021-00209-1.

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2021Brexit and foreign exchange market expectations: Could it have been predicted?. (2021). Gradojevic, Nikola. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03582-z.

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2021Derivative use, ownership structure and lending activities of US banks. (2021). Osah, Theophilus T ; Abugri, Benjamin A. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:45:y:2021:i:1:d:10.1007_s12197-020-09535-3.

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2020Defaulting firms and systemic risks in financial networks: a normative approach. (2020). Houy, Nicolas ; le Grand, Franois ; Legrand, Franois ; Jouneau, Frederic. In: Economic Theory. RePEc:spr:joecth:v:70:y:2020:i:2:d:10.1007_s00199-019-01217-4.

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2020Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility. (2020). Lee, Tae Hwy ; Ullah, Aman ; Amanullah, ; Yi, Millie. In: Working Papers. RePEc:ucr:wpaper:202015.

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2021Density Forecast of Financial Returns Using Decomposition and Maximum Entropy. (2021). Zhang, RU ; Wang, HE ; Lee, Tae-Hwy. In: Working Papers. RePEc:ucr:wpaper:202115.

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2020A Comment on: “On the Informativeness of Descriptive Statistics for Structural Estimates” by Isaiah Andrews, Matthew Gentzkow, and Jesse M. Shapiro. (2020). Kitamura, Yuichi. In: Econometrica. RePEc:wly:emetrp:v:88:y:2020:i:6:p:2265-2269.

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2021From Blackwell Dominance in Large Samples to Rényi Divergences and Back Again. (2021). Pomatto, Luciano ; Mu, Xiaosheng ; Tamuz, Omer ; Strack, Philipp. In: Econometrica. RePEc:wly:emetrp:v:89:y:2021:i:1:p:475-506.

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2021Inference for Iterated GMM Under Misspecification. (2021). Lee, Seojeong ; Hansen, Bruce E. In: Econometrica. RePEc:wly:emetrp:v:89:y:2021:i:3:p:1419-1447.

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2020Revealing forecasters preferences: A Bayesian multivariate loss function approach. (2020). Tsionas, Mike ; mamatzakis, emmanuel. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:3:p:412-437.

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2021A unified framework for efficient estimation of general treatment models. (2021). Zhang, Zheng ; Motegi, Kaiji ; Linton, Oliver ; Ai, Chunrong. In: Quantitative Economics. RePEc:wly:quante:v:12:y:2021:i:3:p:779-816.

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2022Information theoretic approach to high?dimensional multiplicative models: Stochastic discount factor and treatment effect. (2022). Otsu, Taisuke ; Qiu, Chen. In: Quantitative Economics. RePEc:wly:quante:v:13:y:2022:i:1:p:63-94.

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Works by Michael J. Stutzer:


YearTitleTypeCited
1996 A Simple Nonparametric Approach to Derivative Security Valuation. In: Journal of Finance.
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article112
1989Credit Rationing and Government Loan Programs: A Welfare Analysis In: Real Estate Economics.
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article32
1997An Information-Theoretic Alternative to Generalized Method of Moments Estimation In: Econometrica.
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article215
1980Chaotic dynamics and bifurcation in a macro model In: Journal of Economic Dynamics and Control.
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article38
1980Chaotic dynamics and bifurcation in a macro model.(1980) In: Staff Report.
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This paper has another version. Agregated cites: 38
paper
2018The bankruptcy problem in financial networks In: Economics Letters.
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article5
1987Comparative statics for integrable Nash equilibria In: Economics Letters.
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article0
2002Connections between entropic and linear projections in asset pricing estimation In: Journal of Econometrics.
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article21
2003Portfolio choice with endogenous utility: a large deviations approach In: Journal of Econometrics.
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article37
2011Portfolio choice with endogenous utility: a large deviations approach.(2011) In: World Scientific Book Chapters.
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This paper has another version. Agregated cites: 37
chapter
1995A Bayesian approach to diagnosis of asset pricing models In: Journal of Econometrics.
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article33
1990Adverse selection and mutuality: The case of the farm credit system In: Journal of Financial Intermediation.
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article7
1995The Simple Analytics of Observed Discrimination in Credit Markets In: Journal of Financial Intermediation.
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article21
1995The simple analytics of observed discrimination in credit markets.(1995) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 21
paper
1988Variable rate loans and financed activities: The case of adjustable rate mortgages In: Journal of Urban Economics.
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article1
2013Optimal hedging via large deviation In: Physica A: Statistical Mechanics and its Applications.
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article1
1982Another note on deadweight loss In: Journal of Public Economics.
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article0
1981Another note on deadweight loss.(1981) In: Staff Report.
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This paper has another version. Agregated cites: 0
paper
1984Probable future competition in banking antitrust determination: research findings In: Quarterly Review.
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article0
1985The statewide economic impact of small-issue industrial revenue bonds In: Quarterly Review.
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article3
1985Adjustable rate mortgages: increasing efficiency more than housing activity In: Quarterly Review.
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article0
1987Improving intergovernmental finance: a message from the northland In: Quarterly Review.
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article0
1989Duality and arbitrage with transactions costs: theory and applications In: Staff Report.
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paper0
1981Parametric properties of tax effort revenue sharing In: Staff Report.
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paper0
1983Variable rate subsidies: the inefficiency of in-kind transfers revisited In: Staff Report.
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paper0
1984Varible Rate Subsidies : The Ineficiency of In-Kind Transfers Revisited.(1984) In: Public Finance Review.
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This paper has another version. Agregated cites: 0
article
1984Correspondence principles for concave orthogonal games In: Staff Report.
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paper0
1984Time consistency of optimal plans: an elementary primer In: Staff Report.
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paper1
1995A Theory of Mutual Formation and Moral Hazard with Evidence from the History of the Insurance Industry. In: Review of Financial Studies.
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article24
1988ADVERSE SELECTION, AGGREGATE UNCERTAINTY, AND THE ROLE FOR MUTUAL INSURANCE COMPANIES In: RCER Working Papers.
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paper0
1990Adverse Selection, Aggregate Uncertainty, and the Role for Mutual Insurance Contracts. In: The Journal of Business.
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article29
1996A graphical note on European put thetas In: Journal of Futures Markets.
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article1
2005FUND MANAGERS MAY CAUSE THEIR BENCHMARKS TO BE PRICED “RISKS” In: World Scientific Book Chapters.
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chapter0
2011On Growth-Optimality vs. Security Against Underperformance In: World Scientific Book Chapters.
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chapter0

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