Details about Michael Sørensen

Access statistics for papers by Michael Sørensen.

Last updated 2019-10-20. Update your information in the RePEc Author Service.

Short-id: psr28

Working Papers

2015

1. Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2014

2. Simulation of multivariate diffusion bridges
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   See also Journal Article Simulation of multivariate diffusion bridges, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2016) View citations (2) (2016)

2011

3. Prediction-based estimating functions: review and new developments
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)

2010

4. Maximum likelihood estimation for integrated diffusion processes
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
5. Simple simulation of diffusion bridges with application to likelihood inference for diffusions
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2008

6. Efficient estimation for ergodic diffusions sampled at high frequency
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
7. Optimal inference in dynamic models with conditional moment restrictions
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
8. Parametric inference for discretely sampled stochastic differential equations
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)

2007

9. The Pearson diffusions: A class of statistically tractable diffusion processes
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   See also Journal Article The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes, Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics (2008) View citations (37) (2008)

2003

10. Estimating for Discretely Observed Diffusions Using Transform Functions
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (7)

1998

11. A note on limit theorems for multivariate martingales
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1996

12. On effects of discretization on estimators of drift parameters for diffusion processes
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (21)

1994

13. On Comparision of Stopping Times in Sequential Procedures for Exponential Families of Stochastic Processes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
14. On the moments of some first passage times for exponential families of processes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Journal Articles

2019

1. Estimating functions for jump–diffusions
   Stochastic Processes and their Applications, 2019, 129, (9), 3282-3318

2018

2. A review of asymptotic theory of estimating functions
   Statistical Inference for Stochastic Processes, 2018, 21, (2), 415-434 View citations (2)

2016

3. Simulation of multivariate diffusion bridges
   Journal of the Royal Statistical Society Series B, 2016, 78, (2), 343-369 View citations (2)
   See also Working Paper Simulation of multivariate diffusion bridges, CREATES Research Papers (2014) View citations (1) (2014)

2010

4. A simple estimator for discrete-time samples from affine stochastic delay differential equations
   Statistical Inference for Stochastic Processes, 2010, 13, (2), 125-132 View citations (2)

2009

5. Efficient estimation of transition rates between credit ratings from observations at discrete time points
   Quantitative Finance, 2009, 9, (2), 147-160 View citations (10)
6. Estimation for stochastic differential equations with a small diffusion coefficient
   Stochastic Processes and their Applications, 2009, 119, (3), 679-699 View citations (15)

2008

7. The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
   Scandinavian Journal of Statistics, 2008, 35, (3), 438-465 View citations (37)
   See also Working Paper The Pearson diffusions: A class of statistically tractable diffusion processes, CREATES Research Papers (2007) View citations (1) (2007)

2007

8. DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE
   Mathematical Finance, 2007, 17, (2), 285-306 View citations (46)

2005

9. On Time-Reversibility and Estimating Functions for Markov Processes
   Statistical Inference for Stochastic Processes, 2005, 8, (1), 95-107
10. Statistical inference for discretely observed Markov jump processes
    Journal of the Royal Statistical Society Series B, 2005, 67, (3), 395-410 View citations (22)

2004

11. Inference for Observations of Integrated Diffusion Processes
    Scandinavian Journal of Statistics, 2004, 31, (3), 417-429 View citations (15)

2001

12. Simplified Estimating Functions for Diffusion Models with a High‐dimensional Parameter
    Scandinavian Journal of Statistics, 2001, 28, (1), 99-112 View citations (6)

2000

13. Prediction-based estimating functions
    Econometrics Journal, 2000, 3, (2), 123-147 View citations (24)

1996

14. A semimartingale approach to some problems in Risk Theory
    ASTIN Bulletin, 1996, 26, (1), 15-23
15. Curved exponential families of stochastic processes and their envelope families
    Annals of the Institute of Statistical Mathematics, 1996, 48, (1), 61-74

1991

16. Information quantities in non-classical settings
    Computational Statistics & Data Analysis, 1991, 12, (2), 143-158 View citations (1)

1990

17. On quasi likelihood for semimartingales
    Stochastic Processes and their Applications, 1990, 35, (2), 331-346 View citations (1)

1988

18. On the Incubation Time Distribution and the Danish AIDS Data
    Journal of the Royal Statistical Society Series A, 1988, 151, (1), 42-43