Michael J. Stutzer : Citation Profile


Are you Michael J. Stutzer?

University of Colorado

10

H index

10

i10 index

487

Citations

RESEARCH PRODUCTION:

22

Articles

9

Papers

3

Chapters

RESEARCH ACTIVITY:

   38 years (1980 - 2018). See details.
   Cites by year: 12
   Journals where Michael J. Stutzer has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 4 (0.81 %)

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   Permalink: http://citec.repec.org/pst891
   Updated: 2019-12-07    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)

Julliard, Christian (8)

Hansen, Lars (7)

Garcia, René (7)

Bourlès, Renaud (7)

Monfort, Alain (6)

Nijkamp, Peter (6)

Rockinger, Michael (6)

Ramalho, Joaquim (6)

Newey, Whitney (6)

Cites to:

Hansen, Lars (4)

Jagannathan, Ravi (3)

Volij, Oscar (3)

Dagan, Nir (3)

Prescott, Edward (2)

Bekaert, Geert (2)

He, Hua (2)

Litterman, Robert (2)

Imbens, Guido (2)

White, Halbert (2)

Hodrick, 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 (2018 and 2017)


YearTitle of citing document
2018The historical relationship between the U.S. Farm Credit System, Farm Service Agency and commercial bank lending. (2018). Turvey, Calum ; Carduner, Amy ; Ifft, Jennifer E. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274120.

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2018Production Credit Associations and Agricultural Productivity Change in the United States, 1920-1940. (2018). Hutchins, Jared ; Hueth, Brent M. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274384.

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2017On minimising a portfolios shortfall probability. (2017). Puhalskii, Anatolii A. In: Papers. RePEc:arx:papers:1602.02192.

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2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

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2018Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators. (2018). Lee, Seojeong. In: Papers. RePEc:arx:papers:1806.00953.

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2018A Simple and Efficient Estimation of the Average Treatment Effect in the Presence of Unmeasured Confounders. (2018). Zhang, Zheng ; Huang, Lukang ; Ai, Chunrong. In: Papers. RePEc:arx:papers:1807.05678.

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2018Non-Asymptotic Inference in Instrumental Variables Estimation. (2018). Horowitz, Joel L. In: Papers. RePEc:arx:papers:1809.03600.

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2017Economic Development and Environmental Change with Endogenous Birth and Mortality Rates. (2017). . In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2017:p:77-97.

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2018INFORMATION THEORETIC APPROACHES IN ECONOMICS. (2018). Yang, Jangho. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:3:p:940-960.

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2017AN OPTION VALUATION FRAMEWORK BASED ON ARITHMETIC BROWNIAN MOTION: JUSTIFICATION AND IMPLEMENTATION ISSUES. (2017). Brooks, Robert. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:401-427.

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2018Propensity Score Weighting for Causal Inference with Clustered Data. (2018). Shu, Yang. In: Journal of Causal Inference. RePEc:bpj:causin:v:6:y:2018:i:2:p:19:n:6.

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2017Relative error accurate statistic based on nonparametric likelihood. (2017). Otsu, Taisuke ; Camponovo, Lorenzo. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:593.

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2018Information theoretic approach to high dimensional multiplicative models: Stochastic discount factor and treatment effect. (2018). Otsu, Taisuke ; Qiu, Chen . In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:595.

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2017Entropy-based implied moments. (2017). Zhou, Chen ; Xiao, Xiao. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2017Saddlepoint tests for accurate and robust inference on overdispersed count data. (2017). Aeberhard, William H ; Heritier, Stephane ; Cantoni, Eva . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:107:y:2017:i:c:p:162-175.

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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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2017Recurrence plots analysis of the CNY exchange markets based on phase space reconstruction. (2017). Yao, Can-Zhong ; Lin, Qing-Wen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:584-596.

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2018Generalized empirical likelihood specification test robust to local misspecification. (2018). Park, Sung Y. ; Fan, Rui ; Li, Haiqi. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:149-153.

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2017Tests of additional conditional moment restrictions. (2017). Parente, Paulo ; Smith, Richard J. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:1-16.

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2017Bayesian moment-based inference in a regression model with misclassification error. (2017). van Hasselt, Martijn ; Bollinger, Christopher. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:282-294.

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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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2017Generalized empirical likelihood M testing for semiparametric models with time series data. (2017). Jacho-Chávez, David ; Chu, Ba ; Bravo, Francesco ; Chu, Ba M., ; Jacho-Chavez, David T. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:18-30.

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2017Risk-neutral valuation of the non-recourse protection in reverse mortgages: A case study for Korea. (2017). , Joseph. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:133-154.

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2018A comparative study of pricing approaches for longevity instruments. (2018). Leung, Melvern ; Ohare, Colin ; Fung, Man Chung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:95-116.

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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 ; Zhang, Zheng ; Motegi, Kaiji. 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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2017Estimation of the realized (co-)volatility vector: Large deviations approach. (2017). Djellout, Hacene ; Samoura, Yacouba ; Guillin, Arnaud . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:9:p:2926-2960.

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2018Impact of Informal Job-search on Wages for University Graduates in Egypt and Jordan. (2018). Elamin, Obbey Ahmed. In: Working Papers. RePEc:erg:wpaper:1272.

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2017General Aggregation of Misspecified Asset Pricing Models. (2017). Maasoumi, Esfandiar ; Gospodinov, Nikolay. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-10.

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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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2017Voluntary Contributions to a Mutual Insurance Pool. (2017). Villeval, Marie Claire ; Montmarquette, Claude ; Lévy-Garboua, Louis ; Vaksmann, Jonathan ; Levy-Garboua, Louis. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-01476440.

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2017Voluntary Contributions to a Mutual Insurance Pool. (2017). Villeval, Marie-Claire ; Vaksmann, Jonathan ; Montmarquette, Claude ; Levy-Garboua, Louis. In: Post-Print. RePEc:hal:journl:hal-01476440.

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2018GEL-based inference with unconditional moment inequality restrictions. (2018). Smith, Richard J ; Grant, Nicky L. In: CeMMAP working papers. RePEc:ifs:cemmap:23/18.

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2017Non-asymptotic inference in instrumental variables estimation. (2017). Horowitz, Joel L. In: CeMMAP working papers. RePEc:ifs:cemmap:46/17.

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2018Non-asymptotic inference in instrumental variables estimation. (2018). Horowitz, Joel L. In: CeMMAP working papers. RePEc:ifs:cemmap:52/18.

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2018Quasi-Maximum Likelihood and the Kernel Block Bootstrap for Nonlinear Dynamic Models. (2018). Parente, Paulo ; Smith, Richard J. In: Working Papers REM. RePEc:ise:remwps:wp0592018.

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2017K-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?. (2017). Haley, Ryan M. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:3:d:10.1007_s10436-017-0301-4.

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2018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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2018A nonparametric quantity-of-quality approach to assessing financial asset return performance. (2018). Haley, Ryan M. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-018-0319-2.

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2017Automobile Insurance and Driver Ability: Contract Choice as a Screening Mechanism. (2017). Posey, Lisa L ; Thistle, Paul D. In: The Geneva Papers on Risk and Insurance Theory. RePEc:kap:geneva:v:42:y:2017:i:2:d:10.1057_s10713-017-0022-7.

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2017Retrieving risk neutral moments and expected quadratic variation from option prices. (2017). Tzavalis, Elias ; Rompolis, Leonidas. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0575-z.

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2017Pool size and the sustainability of optimal risk-sharing agreements. (2017). HENRIET, Dominique ; Bourlès, Renaud ; Barigozzi, Francesca ; Pignataro, Giuseppe . In: Theory and Decision. RePEc:kap:theord:v:82:y:2017:i:2:d:10.1007_s11238-016-9573-9.

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2018Rate Optimal Specification Test When the Number of Instruments is Large. (2018). Iwasawa, Masamune ; Nishiyama, Yoshihiko ; Hitomi, Kohtaro. In: KIER Working Papers. RePEc:kyo:wpaper:986.

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2018GEL-Based Inference from Unconditional Moment Inequality Restrictions. (2018). Smith, Richard J ; Grant, Nicky L. In: The School of Economics Discussion Paper Series. RePEc:man:sespap:1802.

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2018Measuring monetary policy deviations from the Taylor rule. (2018). Palma, Nuno ; Madeira, Joao ; Smith, Richard J ; Grant, Nicky L. In: The School of Economics Discussion Paper Series. RePEc:man:sespap:1803.

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2018.

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2017Comment on Survey Measurement of Probabilistic Economic Expectations: Progress and Promise. (2017). Hansen, Lars . In: NBER Chapters. RePEc:nbr:nberch:13909.

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2017What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models. (2017). Julliard, Christian ; Taylor, Alex P ; Ghosh, Anisha. In: Review of Financial Studies. RePEc:oup:rfinst:v:30:y:2017:i:2:p:442-504..

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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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2017Automobile Insurance and Driver Ability: Contract Choice as a Screening Mechanism. (2017). Thistle, Paul D ; Posey, Lisa L. In: The Geneva Risk and Insurance Review. RePEc:pal:genrir:v:42:y:2017:i:2:d:10.1057_s10713-017-0022-7.

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2017An SDF Approach to Hedge Funds Tail Risk:Evidence from Brazilian Funds. (2017). Almeida, Caio ; Leal, Laura Simonsen . In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:37:y:2017:i:1:a:62104.

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2018Rearrangement algorithm and maximum entropy. (2018). Bernard, Carole ; Vanduffel, Steven ; Bondarenko, Oleg. In: Annals of Operations Research. RePEc:spr:annopr:v:261:y:2018:i:1:d:10.1007_s10479-017-2612-2.

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2017A portfolio optimization model for minimizing soft margin-based generalization bound. (2017). Ha, Minghu ; Wang, Chao ; Yang, Yang. In: Journal of Intelligent Manufacturing. RePEc:spr:joinma:v:28:y:2017:i:3:d:10.1007_s10845-014-1011-7.

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2017Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England. (2017). Andrews, Martyn ; Sutton, Matthew ; Kyriakoulis, Kostas ; Hall, Alastair R ; Elamin, Obbey . In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:23-41.

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2017Semiparametric estimation of moment condition models with weakly dependent data. (2017). Jacho-Chávez, David ; Chu, Ba ; Jacho-Chavez, David T ; Ba M. Chu, ; Bravo, Francesco. In: Journal of Nonparametric Statistics. RePEc:taf:gnstxx:v:29:y:2017:i:1:p:108-136.

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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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2018Tax Evasion and Financial Development under Asymmetric Information in Credit Markets. (2018). Guo, Jang-Ting ; Hung, Fu-Sheng. In: Working Papers. RePEc:ucr:wpaper:201810.

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2017Regularized Empirical Likelihood as a Solution to the No Moment. (2017). Chausse, Pierre. In: Working Papers. RePEc:wat:wpaper:1708.

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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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article97
1989Credit Rationing and Government Loan Programs: A Welfare Analysis In: Real Estate Economics.
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article28
1997An Information-Theoretic Alternative to Generalized Method of Moments Estimation In: Econometrica.
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article185
1980Chaotic dynamics and bifurcation in a macro model In: Journal of Economic Dynamics and Control.
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article31
1980Chaotic dynamics and bifurcation in a macro model.(1980) In: Staff Report.
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This paper has another version. Agregated cites: 31
paper
2018The bankruptcy problem in financial networks In: Economics Letters.
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article0
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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article16
2003Portfolio choice with endogenous utility: a large deviations approach In: Journal of Econometrics.
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article32
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: 32
chapter
1995A Bayesian approach to diagnosis of asset pricing models In: Journal of Econometrics.
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article20
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.
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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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article0
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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article19
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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article26
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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