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Michael Sørensen

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Personal Details

First Name: Michael
Middle Name:
Last Name: Sørensen
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RePEc Short-ID: psr28

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Homepage: http://www.math.ku.dk/~michael/
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Affiliation

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Works

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Working papers

  1. Michael Sørensen, 2011. "Prediction-based estimating functions: review and new developments," CREATES Research Papers 2011-05, School of Economics and Management, University of Aarhus.
  2. Mogens Bladt & Michael Sørensen, 2010. "Simple simulation of diffusion bridges with application to likelihood inference for diffusions," CREATES Research Papers 2010-32, School of Economics and Management, University of Aarhus.
  3. Fernando Baltazar-Larios & Michael Sørensen, 2010. "Maximum likelihood estimation for integrated diffusion processes," CREATES Research Papers 2010-33, School of Economics and Management, University of Aarhus.
  4. Michael Sørensen, 2008. "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers 2008-18, School of Economics and Management, University of Aarhus.
  5. 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.
  6. 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.
  7. 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.

Articles

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. Michael Sørensen, 2000. "Prediction-based estimating functions," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 123-147.
  9. 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.
  10. 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.
  11. Sørensen, Michael, 1990. "On quasi likelihood for semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 35(2), pages 331-346, August.

NEP Fields

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (1) 2010-09-03
  2. NEP-ECM: Econometrics (7) 2008-06-27 2008-06-27 2008-06-27 2008-09-29 2010-09-03 2010-09-03 2011-01-30. Author is listed
  3. NEP-ETS: Econometric Time Series (6) 2008-06-27 2008-06-27 2008-06-27 2008-09-29 2010-09-03 2010-09-03. Author is listed
  4. NEP-ICT: Information & Communication Technologies (1) 2008-06-27
  5. NEP-MST: Market Microstructure (1) 2008-06-27
  6. NEP-ORE: Operations Research (3) 2008-06-27 2010-09-03 2011-01-30. Author is listed

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