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Michael Sørensen
(Michael Sorensen)

Personal Details

First Name:Michael
Middle Name:
Last Name:Sorensen
Suffix:
RePEc Short-ID:psr28
http://www.math.ku.dk/~michael/

Affiliation

(in no particular order)

Københavns Universitet, Institut for Matematiske Fag

(University of Copenhagen, Department of Mathematical Sciences) http://www.math.ku.dk/
Denmark, Copenhagen

Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi (Department of Economics and Business Economics)
Aarhus Universitet (Aarhus University)

Aarhus, Denmark
http://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Nina Munkholt Jakobsen & Michael Sørensen, 2015. "Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval," CREATES Research Papers 2015-33, Department of Economics and Business Economics, Aarhus University.
  2. Mogens Bladt & Samuel Finch & Michael Sørensen, 2014. "Simulation of multivariate diffusion bridges," CREATES Research Papers 2014-16, Department of Economics and Business Economics, Aarhus University.
  3. Michael Sørensen, 2011. "Prediction-based estimating functions: review and new developments," CREATES Research Papers 2011-05, Department of Economics and Business Economics, Aarhus University.
  4. Mogens Bladt & Michael Sørensen, 2010. "Simple simulation of diffusion bridges with application to likelihood inference for diffusions," CREATES Research Papers 2010-32, Department of Economics and Business Economics, Aarhus University.
  5. Fernando Baltazar-Larios & Michael Sørensen, 2010. "Maximum likelihood estimation for integrated diffusion processes," CREATES Research Papers 2010-33, Department of Economics and Business Economics, Aarhus University.
  6. Michael Sørensen, 2008. "Efficient estimation for ergodic diffusions sampled at high frequency," CREATES Research Papers 2007-46, Department of Economics and Business Economics, Aarhus University.
  7. Bent Jesper Christensen & Michael Sørensen, 2008. "Optimal inference in dynamic models with conditional moment restrictions," CREATES Research Papers 2008-51, Department of Economics and Business Economics, Aarhus University.
  8. Michael Sørensen, 2008. "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers 2008-18, Department of Economics and Business Economics, Aarhus University.
  9. Michael Sørensen & Julie Lyng Forman, 2007. "The Pearson diffusions: A class of statistically tractable diffusion processes," CREATES Research Papers 2007-28, Department of Economics and Business Economics, Aarhus University.
  10. Leah Kelly & Eckhard Platen & Michael Sorensen, 2003. "Estimating for Discretely Observed Diffusions Using Transform Functions," Research Paper Series 96, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Küchler, Uwe & Sørensen, Michael M., 1998. "A note on limit theorems for multivariate martingales," SFB 373 Discussion Papers 1998,45, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  12. P. E. Kloeden & Eckhard Platen & H. Schurz & M. Sørensen, 1996. "On effects of discretization on estimators of drift parameters for diffusion processes," Published Paper Series 1996-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  13. Sörensen, M., 1994. "On Comparision of Stopping Times in Sequential Procedures for Exponential Families of Stochastic Processes," SFB 373 Discussion Papers 1994,38, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  14. Sörensen, M., 1994. "On the moments of some first passage times for exponential families of processes," SFB 373 Discussion Papers 1994,48, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

Articles

  1. Jakobsen, Nina Munkholt & Sørensen, Michael, 2019. "Estimating functions for jump–diffusions," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3282-3318.
  2. Jean Jacod & Michael Sørensen, 2018. "A review of asymptotic theory of estimating functions," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 415-434, July.
  3. Mogens Bladt & Samuel Finch & Michael Sørensen, 2016. "Simulation of multivariate diffusion bridges," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 343-369, March.
  4. Uwe Küchler & Michael Sørensen, 2010. "A simple estimator for discrete-time samples from affine stochastic delay differential equations," Statistical Inference for Stochastic Processes, Springer, vol. 13(2), pages 125-132, June.
  5. Mogens Bladt & Michael SØrensen, 2009. "Efficient estimation of transition rates between credit ratings from observations at discrete time points," Quantitative Finance, Taylor & Francis Journals, vol. 9(2), pages 147-160.
  6. Gloter, Arnaud & Sørensen, Michael, 2009. "Estimation for stochastic differential equations with a small diffusion coefficient," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 679-699, March.
  7. Julie Lyng Forman & Michael Sørensen, 2008. "The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(3), pages 438-465, September.
  8. Kristian Stegenborg Larsen & Michael Sørensen, 2007. "Diffusion Models For Exchange Rates In A Target Zone," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 285-306, April.
  9. Mathieu Kessler & Michael Sørensen, 2005. "On Time-Reversibility and Estimating Functions for Markov Processes," Statistical Inference for Stochastic Processes, Springer, vol. 8(1), pages 95-107, January.
  10. Mogens Bladt & Michael Sørensen, 2005. "Statistical inference for discretely observed Markov jump processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(3), pages 395-410, June.
  11. Susanne Ditlevsen & Michael Sørensen, 2004. "Inference for Observations of Integrated Diffusion Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 31(3), pages 417-429, September.
  12. Bo Martin Bibby & Michael Sørensen, 2001. "Simplified Estimating Functions for Diffusion Models with a High‐dimensional Parameter," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(1), pages 99-112, March.
  13. Michael Sørensen, 2000. "Prediction-based estimating functions," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 123-147.
  14. Uwe Küchler & Michael Sørensen, 1996. "Curved exponential families of stochastic processes and their envelope families," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(1), pages 61-74, March.
  15. Sørensen, Michael, 1996. "A semimartingale approach to some problems in Risk Theory," ASTIN Bulletin, Cambridge University Press, vol. 26(1), pages 15-23, May.
  16. Barndorff-Nielsen, O. E. & Sorensen, M., 1991. "Information quantities in non-classical settings," Computational Statistics & Data Analysis, Elsevier, vol. 12(2), pages 143-158, September.
  17. Sørensen, Michael, 1990. "On quasi likelihood for semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 35(2), pages 331-346, August.
  18. Jesper Lier Boldsen & Jens Ledet Jensen & Jes SØGaard & Michael SØrensen, 1988. "On the Incubation Time Distribution and the Danish AIDS Data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 151(1), pages 42-43, January.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (9) 2008-06-27 2008-06-27 2008-06-27 2008-09-29 2010-09-03 2010-09-03 2011-01-30 2014-05-24 2015-08-25. Author is listed
  2. NEP-ETS: Econometric Time Series (8) 2004-06-02 2008-06-27 2008-06-27 2008-06-27 2008-09-29 2010-09-03 2010-09-03 2015-08-25. Author is listed
  3. NEP-ORE: Operations Research (4) 2008-06-27 2010-09-03 2011-01-30 2014-05-24
  4. NEP-CMP: Computational Economics (2) 2010-09-03 2014-05-24
  5. NEP-MST: Market Microstructure (2) 2008-06-27 2015-08-25
  6. NEP-ICT: Information and Communication Technologies (1) 2008-06-27

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