Citations of
Michael Sørensen

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

1. Michael Sørensen, 2008. "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers 2008-18, School of Economics and Management, University of Aarhus. [Downloadable!]

   Cited by:

   1. Yuichi Nagahara, 2008. "A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions," Asia-Pacific Financial Markets, Springer, vol. 15(3), pages 175-184, December. [Downloadable!] (restricted)

2. Bent Jesper Christensen & Michael Sørensen, 2008. "Optimal inference in dynamic models with conditional moment restrictions," CREATES Research Papers 2008-51, School of Economics and Management, University of Aarhus. [Downloadable!]

   Cited by:

   1. Michael Sørensen, 2008. "Efficient estimation for ergodic diffusions sampled at high frequency," CREATES Research Papers 2007-46, School of Economics and Management, University of Aarhus. [Downloadable!]
   2. Michael Sørensen & Julie Lyng Forman, 2007. "The Pearson diffusions: A class of statistically tractable diffusion processes," CREATES Research Papers 2007-28, School of Economics and Management, University of Aarhus. [Downloadable!]

1. 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 and Swedish Statistical Association, vol. 35(3), pages 438-465. [Downloadable!] (restricted)

   Cited by:

   1. Aleksandar Mijatovic & Paul Schneider, 2009. "Empirical asset pricing with nonlinear risk premia," Quantitative Finance Papers 0911.0928, arXiv.org. [Downloadable!]
   2. Almut E. D. Veraart & Luitgard A. M. Veraart, 2009. "Stochastic volatility and stochastic leverage," CREATES Research Papers 2009-20, School of Economics and Management, University of Aarhus. [Downloadable!]

2. 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 and Swedish Statistical Association, vol. 31(3), pages 417-429. [Downloadable!] (restricted)

   Cited by:

   1. Friedrich Hubalek & Petra Posedel, 2008. "Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models," Quantitative Finance Papers 0807.3479, arXiv.org. [Downloadable!]
   2. Michael Sørensen & Julie Lyng Forman, 2007. "The Pearson diffusions: A class of statistically tractable diffusion processes," CREATES Research Papers 2007-28, School of Economics and Management, University of Aarhus. [Downloadable!]

This page was last updated on 2010-1-2.