Michael Sorensen

University of Copenhagen - Institute for Mathematical Sciences

Universitetsparken 5

DK-2100 Copenhagen, DK - 2200

Denmark

University of Aarhus

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

6

DOWNLOADS

427

SSRN CITATIONS
Rank 24,896

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Top 24,896

in Total Papers Citations

1

CROSSREF CITATIONS

27

Scholarly Papers (6)

1.

The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

Number of pages: 34 Posted: 23 Jun 2008
Michael Sorensen, Julie Lyng Forman and Margit Sommer
University of Copenhagen - Institute for Mathematical Sciences, affiliation not provided to SSRN and School of Economics and Management, University of Aarhus
Downloads 200 (153,215)
Citation 1

Abstract:

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eigenfunction, ergodic diffusion, integrated diffusion, martingale estimating function, likelihood inference, mixing, optimal estimating function, Pearson system, prediction based estimating function, quasi likelihood, spectral methods,stochastic differential equation, stochastic volatility

2.

Parametric Inference for Discretely Sampled Stochastic Differential Equations

CREATES Research Paper 2008-18
Number of pages: 24 Posted: 25 Jun 2008
Michael Sorensen
University of Copenhagen - Institute for Mathematical Sciences
Downloads 91 (284,399)
Citation 2

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Asymptotic results, discrete time observation of a diffusion, efficiency

3.

Efficient Estimation for Ergodic Diffusions Sampled at High Frequency

CREATES Research Paper No. 2007-46
Number of pages: 34 Posted: 24 Jun 2008
Michael Sorensen
University of Copenhagen - Institute for Mathematical Sciences
Downloads 65 (345,618)
Citation 8

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Approximate martingale estimating functions, discrete time observation of a diffusion, efficiency, Euler approximation, generalized method of moments, optimal estimating function, optimal rate, small delta-optimality

4.

Optimal Inference in Dynamic Models with Conditional Moment Restrictions

CREATES Research Paper No. 2008-51
Number of pages: 41 Posted: 11 Sep 2008
Bent Jesper Christensen and Michael Sorensen
Aarhus University and University of Copenhagen - Institute for Mathematical Sciences
Downloads 46 (405,775)
Citation 5

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optimal estimating function, generalized method of moments, conditional moment restrictions, dynamic models, optimal instruments, martingale estimating function, specification test

5.

Diffusion Models for Exchange Rates in a Target Zone

Mathematical Finance, Vol. 17, No. 2, pp. 285-306, April 2007
Number of pages: 22 Posted: 19 Mar 2007
Kristian Stegenborg Larsen and Michael Sorensen
Nykredit Bank and University of Copenhagen - Institute for Mathematical Sciences
Downloads 25 (497,822)
Citation 1
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6.

A Hyperbolic Diffusion Model for Stock Prices

FINANCE AND STOCHASTICS, Vol. 1 No. 1, 1997
Posted: 07 Nov 1996
Bo Martin Bibby and Michael Sorensen
Research Centre Foulum and University of Copenhagen - Institute for Mathematical Sciences

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