Michael Sørensen : Citation Profile


Are you Michael Sørensen?

Aarhus Universitet

7

H index

6

i10 index

151

Citations

RESEARCH PRODUCTION:

18

Articles

14

Papers

RESEARCH ACTIVITY:

   30 years (1988 - 2018). See details.
   Cites by year: 5
   Journals where Michael Sørensen has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 9 (5.63 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psr28
   Updated: 2020-07-04    RAS profile: 2019-10-20    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Michael Sørensen.

Is cited by:

Hurn, Stan (5)

Veraart, Almut (4)

Fong, Tom (4)

Fan, Jianqing (3)

Cysne, Rubens (3)

Muendler, Marc-Andreas (2)

Lind, Nelson (2)

Schneider, Paul (2)

Chen, Zhenxi (2)

Platen, Eckhard (2)

Posch, Olaf (2)

Cites to:

Hansen, Lars (8)

Ait-Sahalia, Yacine (4)

Gallant, A. (4)

Shephard, Neil (4)

Sanders, Anthony (4)

Platen, Eckhard (4)

Karolyi, G. (4)

Scheinkman, Jose (4)

Papaspiliopoulos, Omiros (3)

Zhou, Hao (3)

Carrasco, Marine (2)

Main data


Where Michael Sørensen has published?


Journals with more than one article published# docs
Stochastic Processes and their Applications3
Scandinavian Journal of Statistics3
Statistical Inference for Stochastic Processes3
Journal of the Royal Statistical Society Series B2

Working Papers Series with more than one paper published# docs
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes3

Recent works citing Michael Sørensen (2019 and 2018)


YearTitle of citing document
2017Robust and Consistent Estimation of Generators in Credit Risk. (2017). Reis, Goncalo Dos ; Smith, Greig. In: Papers. RePEc:arx:papers:1702.08867.

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2019Markov cubature rules for polynomial processes. (2019). Pulido, Sergio ; Larsson, Martin ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1707.06849.

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2019Polynomial Jump-Diffusion Models. (2019). Larsson, Martin ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1711.08043.

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2017On the Singular Control of Exchange Rates. (2017). Vargiolu, Tiziano ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:1712.02164.

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2018Time-inhomogeneous polynomial processes. (2018). Schmidt, Thorsten ; del Carmen, Mar'Ia Fernanda. In: Papers. RePEc:arx:papers:1806.03887.

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2020Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations. (2018). Smith, Greig ; Reis, Goncalo Dos ; Pfeuffer, Marius. In: Papers. RePEc:arx:papers:1809.09889.

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2019A stochastic PDE model for limit order book dynamics. (2019). Mueller, Marvin S ; Cont, Rama. In: Papers. RePEc:arx:papers:1904.03058.

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2020The Jarrow & Turnbull setting revisited. (2020). Teichmann, Josef ; Krabichler, Thomas. In: Papers. RePEc:arx:papers:2004.12392.

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2020Confidence sets for dynamic poverty indexes. (2020). Regnault, Philippe ; de Blasis, Riccardo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:2006.06595.

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2018On a Class of Singular Stochastic Control Problems for Reflected Diffusions. (2018). Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:592.

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2018On the Singular Control of Exchange Rates. (2018). Vargiolu, Tiziano ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:594.

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2017Threshold Estimation for Stochastic Processes with Small Noise. (2017). Shimizu, Yasutaka. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:4:p:951-988.

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2019Variance reduction estimation for return models with jumps using gamma asymmetric kernels. (2019). Shengyi, Zhou ; Weijie, Hou ; Yuping, Song. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:5:p:38:n:5.

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2019Data cloning estimation for asymmetric stochastic volatility models. (2019). Veiga, Helena ; de Zea, Patricia ; Marin, Juan Miguel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28214.

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2018Valuation of power plants. (2018). Ernstsen, Rune Ramsdal ; Boomsma, Trine Krogh. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:3:p:1153-1174.

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2019Detecting currency manipulation: An application of a state-space model with Markov switching. (2019). Kim, Soohyon ; Park, Ki Young. In: Japan and the World Economy. RePEc:eee:japwor:v:49:y:2019:i:c:p:50-60.

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2017The impact of randomness on the distribution of wealth: Some economic aspects of the Wright–Fisher diffusion process. (2017). Bouleau, Nicolas ; Chorro, Christophe. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:379-395.

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2020Constant elasticity of variance models with target zones. (2020). Wang, Yongjin ; Jiang, Pingping ; Feng, Liming ; Mingfeng, LI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119315390.

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2017Heavy-tailed fractional Pearson diffusions. (2017). Leonenko, N N ; Papi, I ; Uvak, N ; Sikorskii, A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3512-3535.

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2017Polynomial diffusions on compact quadric sets. (2017). Larsson, Martin ; Pulido, Sergio. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:3:p:901-926.

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2017Least squares estimators for stochastic differential equations driven by small Lévy noises. (2017). Long, Hongwei ; Shimizu, Yasutaka ; Ma, Chunhua. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:5:p:1475-1495.

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2020Markov cubature rules for polynomial processes. (2020). Pulido, Sergio ; Larsson, Martin ; Filipovi, Damir. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:4:p:1947-1971.

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2017Maximum likelihood type estimation for discretely observed CIR model with small α-stable noises. (2017). Yang, XU. In: Statistics & Probability Letters. RePEc:eee:stapro:v:120:y:2017:i:c:p:18-27.

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2017Large deviations for the Ornstein–Uhlenbeck process without tears. (2017). Bercu, Bernard ; Richou, Adrien . In: Statistics & Probability Letters. RePEc:eee:stapro:v:123:y:2017:i:c:p:45-55.

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2019A Hoeffding’s inequality for uniformly ergodic diffusion process. (2019). Li, Evelyn. In: Statistics & Probability Letters. RePEc:eee:stapro:v:150:y:2019:i:c:p:23-28.

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2019A STOCHASTIC PDE MODEL FOR LIMIT ORDER BOOK DYNAMICS. (2019). Muller, Marvin ; Cont, Rama. In: Working Papers. RePEc:hal:wpaper:hal-02090449.

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2017Can Exchange Rate Dynamics in Krugman¡¯s Target-zone Model be Directly Tested?Abstract: Despite Krugmans (1991) model being a benchmark for modelling target zones, empirical support has been sparse . (2017). Lo, Chi-Fai ; Hui, Cho-Hoi ; Chau, Po-Hon. In: Working Papers. RePEc:hkm:wpaper:032017.

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2018Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach. (2018). Chen, Zhenxi ; Lux, Thomas. In: Computational Economics. RePEc:kap:compec:v:52:y:2018:i:3:d:10.1007_s10614-016-9638-4.

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2017Statistical Inference for Discretely Observed Diffusion Epidemic Models. (2017). , Ipinyomi ; Aliu, Hassan A. In: International Journal of Mathematics Research. RePEc:pkp:ijomre:2017:p:29-35.

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2020Multiscale stochastic optimization: modeling aspects and scenario generation. (2020). Ch, Georg ; Glanzer, Martin . In: Computational Optimization and Applications. RePEc:spr:coopap:v:75:y:2020:i:1:d:10.1007_s10589-019-00135-4.

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2018Dynamic Measurement of Poverty: Modeling and Estimation. (2018). Damico, Guglielmo ; Regnault, Philippe. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:80:y:2018:i:2:d:10.1007_s13571-018-0153-6.

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2019Parametric inference for discretely observed subordinate diffusions. (2019). Li, Lingfei ; Guo, Weiwei. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:22:y:2019:i:1:d:10.1007_s11203-017-9165-5.

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2019Least squares estimator for Ornstein–Uhlenbeck processes driven by fractional Lévy processes from discrete observations. (2019). Yu, Qian ; Shen, Guangjun. In: Statistical Papers. RePEc:spr:stpapr:v:60:y:2019:i:6:d:10.1007_s00362-017-0918-4.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:1-2019.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41.

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Works by Michael Sørensen:


YearTitleTypeCited
2007The Pearson diffusions: A class of statistically tractable diffusion processes In: CREATES Research Papers.
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paper25
2008The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes.(2008) In: Scandinavian Journal of Statistics.
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article
2008Efficient estimation for ergodic diffusions sampled at high frequency In: CREATES Research Papers.
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paper1
2008Parametric inference for discretely sampled stochastic differential equations In: CREATES Research Papers.
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paper1
2008Optimal inference in dynamic models with conditional moment restrictions In: CREATES Research Papers.
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paper2
2010Simple simulation of diffusion bridges with application to likelihood inference for diffusions In: CREATES Research Papers.
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2010Maximum likelihood estimation for integrated diffusion processes In: CREATES Research Papers.
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2011Prediction-based estimating functions: review and new developments In: CREATES Research Papers.
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paper2
2014Simulation of multivariate diffusion bridges In: CREATES Research Papers.
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paper1
2016Simulation of multivariate diffusion bridges.(2016) In: Journal of the Royal Statistical Society Series B.
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This paper has another version. Agregated cites: 1
article
2015Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval In: CREATES Research Papers.
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1988On the Incubation Time Distribution and the Danish AIDS Data In: Journal of the Royal Statistical Society Series A.
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2005Statistical inference for discretely observed Markov jump processes In: Journal of the Royal Statistical Society Series B.
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article12
2007DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE In: Mathematical Finance.
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article36
2001Simplified Estimating Functions for Diffusion Models with a High‐dimensional Parameter In: Scandinavian Journal of Statistics.
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article6
2004Inference for Observations of Integrated Diffusion Processes In: Scandinavian Journal of Statistics.
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article10
1996A semimartingale approach to some problems in Risk Theory In: ASTIN Bulletin.
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2000Prediction-based estimating functions In: Econometrics Journal.
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1991Information quantities in non-classical settings In: Computational Statistics & Data Analysis.
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2009Estimation for stochastic differential equations with a small diffusion coefficient In: Stochastic Processes and their Applications.
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2019Estimating functions for jump–diffusions In: Stochastic Processes and their Applications.
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1990On quasi likelihood for semimartingales In: Stochastic Processes and their Applications.
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article1
1996Curved exponential families of stochastic processes and their envelope families In: Annals of the Institute of Statistical Mathematics.
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2010A simple estimator for discrete-time samples from affine stochastic delay differential equations In: Statistical Inference for Stochastic Processes.
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2018A review of asymptotic theory of estimating functions In: Statistical Inference for Stochastic Processes.
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2005On Time-Reversibility and Estimating Functions for Markov Processes In: Statistical Inference for Stochastic Processes.
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2009Efficient estimation of transition rates between credit ratings from observations at discrete time points In: Quantitative Finance.
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1996On effects of discretization on estimators of drift parameters for diffusion processes In: Published Paper Series.
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2003Estimating for Discretely Observed Diffusions Using Transform Functions In: Research Paper Series.
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1994On Comparision of Stopping Times in Sequential Procedures for Exponential Families of Stochastic Processes In: SFB 373 Discussion Papers.
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1994On the moments of some first passage times for exponential families of processes In: SFB 373 Discussion Papers.
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1998A note on limit theorems for multivariate martingales In: SFB 373 Discussion Papers.
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