Information about:
Michael Sørensen

Other registered authors

Email:
Homepage: http://www.math.ku.dk/~michael/
Postal Address:
Phone:

Affiliation

• Københavns Universitet, Institut for Matematiske Fag (University of Copenhagen, Department of Mathematical Sciences)

  Homepage: http://www.math.ku.dk/
  Location: Denmark, Copenhagen
  

• Center for Research in Econometric Analysis of Time Series (CREATES)
  Aarhus Universitet

  Location: Aarhus, Denmark
  Homepage: http://www.creates.au.dk/en
  Email:
  Phone:
  Fax:
  Postal: Building 1322, DK-8000 Aarhus C
  Handle: RePEc:edi:creaudk (registered authors at this institution)

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!]

2. 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!]

3. 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!]

4. U. Küchler & M. Sorensen, . "A Note on Limit Theorems for Multivariate Martingales," Sonderforschungsbereich 373 1998-45, Humboldt Universitaet Berlin.

5. M. Sörensen, . "On the moments of some first passage times for exponential families of processes," Sonderforschungsbereich 373 1994-48, Humboldt Universitaet Berlin.

6. M. Sörensen, . "On Comparision of Stopping Times in Sequential Procedures for Exponential Families of Stochastic Processes," Sonderforschungsbereich 373 1994-38, Humboldt Universitaet Berlin.

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)

2. Kristian Stegenborg Larsen & Michael Sørensen, 2007. "Diffusion Models For Exchange Rates In A Target Zone," Mathematical Finance, Blackwell Publishing, vol. 17(2), pages 285-306. [Downloadable!] (restricted)

3. 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. [Downloadable!] (restricted)

4. 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. [Downloadable!] (restricted)

5. 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)

6. Michael Sørensen, 2000. "Prediction-based estimating functions," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 123-147.

7. Uwe Küchler & Michael Sørensen, 1996. "Curved exponential families of stochastic processes and their envelope families," Annals of the Institute of Statistical Mathematics, Springer, vol. 48(1), pages 61-74, March. [Downloadable!] (restricted)

8. 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. [Downloadable!] (restricted)

1. NEP-ECM: Econometrics (3) 2008-06-27 2008-06-27 2008-09-29 Author is listed
2. NEP-ETS: Econometric Time Series (3) 2008-06-27 2008-06-27 2008-09-29 Author is listed
3. NEP-MST: Market Microstructure (1) 2008-06-27 Author is listed

This page was last updated on 2009-12-3.