Michael Sørensen
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 2011
- Published
Prediction-based estimating functions: Review and new developments
Sørensen, Michael, 2011, In: Brazilian Journal of Probability and Statistics. 25, 3, p. 362-391Research output: Contribution to journal › Journal article › Research › peer-review
- 2010
- Published
Estimating functions for discretely sampled diffusion-type models
Sørensen, Michael, Jacobsen, Martin & Bibby, B. M., 2010, Handbook of Financial Econometrics. Ait-Sahalia, Y. & Hansen, L. P. (eds.). Oxford: North-Holland, Vol. 1. p. 203 - 268Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- Published
A simple estimator for discrete-time samples from affine stochastic delay differential equations
Sørensen, Michael, 2010, In: Statistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems. 13, p. 125-132 8 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Maximum likelihood estimation for integrated diffusion processes
Sørensen, Michael & Baltazar-Larios, F., 2010, Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen. Chiarella, C. & Novikov, A. (eds.). Springer Science+Business Media, p. 407-423Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- 2009
- Published
Parametric inference for discretely sampled stochastic differential equations
Sørensen, Michael, 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J-P. & Mikosch, T. (eds.). Heidelberg: Springer, p. 531 - 553 23 p.Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- Published
Efficient estimation of transition rates between credit ratings from observations at discrete time points
Sørensen, Michael & Bladt, M., 2009, In: Quantitative Finance. 9, p. 147 - 160 14 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Estimation for stochastic differential equations with a small diffusion coefficient
Sørensen, Michael & Gloter, A., 2009, In: Stochastic Processes and Their Applications. 119, p. 679 - 699 21 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2008
- Published
The Pearson diffusions: A class of statistically tractablediffusion processes
Forman, Julie Lyng & Sørensen, Michael, 2008, In: Scandinavian Journal of Statistics. 35, p. 438 - 465Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The vertical variation of particle speed and flux density inaeolian saltation: measurement and modeling
Sørensen, Michael & Rasmussen, K. R., 2008, In: Journal of Geophysical Research - Oceans. 113Research output: Contribution to journal › Journal article › Research › peer-review
- 2007
- Published
Diffusion models for exchange rates in a target zone
Sørensen, Michael & Larsen, K. S., 2007, In: Mathematical Finance. 17, p. 285 - 306Research output: Contribution to journal › Journal article › Research › peer-review
ID: 5251
Most downloads
-
210
downloads
Efficient estimation for diffusions sampled at high frequency over a fixed time interval
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
143
downloads
A Generative Angular Model of Protein Structure Evolution
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
129
downloads
A review of asymptotic theory of estimating functions
Research output: Contribution to journal › Journal article › Research › peer-review
Published