Michael J. Stutzer : Citation Profile


Are you Michael J. Stutzer?

University of Colorado

10

H index

10

i10 index

534

Citations

RESEARCH PRODUCTION:

22

Articles

9

Papers

3

Chapters

RESEARCH ACTIVITY:

   38 years (1980 - 2018). See details.
   Cites by year: 14
   Journals where Michael J. Stutzer has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 4 (0.74 %)

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   Permalink: http://citec.repec.org/pst891
   Updated: 2020-10-24    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)

Otsu, Taisuke (12)

Garcia, René (10)

Julliard, Christian (8)

Villeval, Marie Claire (8)

Montmarquette, Claude (8)

Lévy-Garboua, Louis (8)

Hansen, Lars (8)

Bourlès, Renaud (7)

Almeida, Caio (7)

Ramalho, Joaquim (6)

Cites to:

Hansen, Lars (4)

Volij, Oscar (3)

Dagan, Nir (3)

Jagannathan, Ravi (3)

Bekaert, Geert (2)

Prescott, Edward (2)

He, Hua (2)

Hodrick, Robert (2)

Imbens, Guido (2)

Sims, Christopher (2)

Litterman, Robert (2)

Main data


Where Michael J. Stutzer has published?


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

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

Recent works citing Michael J. Stutzer (2020 and 2019)


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

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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). michetti, e ; Guzowska, M ; Grassetti, F. 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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2019It only takes a few moments to hedge options. (2019). Santucci de Magistris, Paolo ; Sloth, David ; Barletta, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:251-269.

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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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2019GEL estimation and tests of spatial autoregressive models. (2019). Lee, Lung-Fei ; Jin, Fei. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:585-612.

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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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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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2019Short waves in Hungary, 1923 and 1946: Persistence, chaos, and (lack of) control. (2019). Hartwell, Christopher. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:163:y:2019:i:c:p:532-550.

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2019Penalized generalized empirical likelihood in high-dimensional weakly dependent data. (2019). Xiao, Fengjun ; Tian, Lemeng ; Shi, Haoming ; Zhang, Jia. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:171:y:2019:i:c:p:270-283.

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2019Calibration estimation of semiparametric copula models with data missing at random. (2019). Hamori, Shigeyuki ; Motegi, Kaiji ; Zhang, Zheng. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:85-109.

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2019Calibration of the risk-neutral density function by maximization of a two-parameter entropy. (2019). Malhotra, Gifty ; Taneja, H C ; Srivastava, R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:45-54.

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2019Parameter estimation and synchronization in the uncertain financial network. (2019). Wei, Qingtao ; Lu, Ling. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313925.

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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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2019Permutation Entropy and Information Recovery in Nonlinear Dynamic Economic Time Series. (2019). HENRY, MIGUEL ; Judge, George. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:10-:d:213039.

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

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2019Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models. (2019). Parente, Paulo ; Smith, Richard J. In: CeMMAP working papers. RePEc:ifs:cemmap:60/19.

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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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2019Semi-nonparametric approximation and index options. (2019). Tian, Weidong ; Jiang, Julia. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:4:d:10.1007_s10436-018-0341-4.

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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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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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2019ENDOGENOUS POPULATION IN A NEOCLASSICAL GROWTH MODEL WITH WEALTH AND TIME VALUES. (2019). Zhang, Wei-Bin. In: Noble International Journal of Economics and Financial Research. RePEc:nap:nijefr:2019:p:47-63.

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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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2019Pricing options of security portfolio in cyclical economic environment. (2019). Wen, Zhongkai ; Mao, Hong. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:5:d:10.1057_s41260-019-00131-7.

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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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2019Nonparametric Assessment of Hedge Fund Performance. (2019). Garcia, René ; Ardison, Kim ; Almeida, Caio. In: TSE Working Papers. RePEc:tse:wpaper:123176.

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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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article106
1989Credit Rationing and Government Loan Programs: A Welfare Analysis In: Real Estate Economics.
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article31
1997An Information-Theoretic Alternative to Generalized Method of Moments Estimation In: Econometrica.
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article201
1980Chaotic dynamics and bifurcation in a macro model In: Journal of Economic Dynamics and Control.
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article35
1980Chaotic dynamics and bifurcation in a macro model.(1980) In: Staff Report.
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This paper has another version. Agregated cites: 35
paper
2018The bankruptcy problem in financial networks In: Economics Letters.
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article3
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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article17
2003Portfolio choice with endogenous utility: a large deviations approach In: Journal of Econometrics.
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article33
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: 33
chapter
1995A Bayesian approach to diagnosis of asset pricing models In: Journal of Econometrics.
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article25
1990Adverse selection and mutuality: The case of the farm credit system In: Journal of Financial Intermediation.
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article6
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
.() In: .
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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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article22
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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article27
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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