Michael Sørensen : Citation Profile


Are you Michael Sørensen?

Aarhus Universitet

8

H index

7

i10 index

177

Citations

RESEARCH PRODUCTION:

18

Articles

14

Papers

RESEARCH ACTIVITY:

   31 years (1988 - 2019). See details.
   Cites by year: 5
   Journals where Michael Sørensen has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 9 (4.84 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psr28
   Updated: 2022-01-15    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)

Vargiolu, Tiziano (3)

Fan, Jianqing (3)

Cysne, Rubens (3)

Platen, Eckhard (2)

Veiga, Helena (2)

Bee, Marco (2)

Posch, Olaf (2)

Muendler, Marc-Andreas (2)

Cites to:

Hansen, Lars (8)

Ait-Sahalia, Yacine (4)

Sanders, Anthony (4)

Gallant, A. (4)

Platen, Eckhard (4)

Scheinkman, Jose (4)

Karolyi, G. (4)

Shephard, Neil (4)

Papaspiliopoulos, Omiros (3)

Elerian, Ola (2)

Schneider, Paul (2)

Main data


Where Michael Sørensen has published?


Journals with more than one article published# docs
Statistical Inference for Stochastic Processes3
Stochastic Processes and their Applications3
Scandinavian Journal of Statistics3
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 (2021 and 2020)


YearTitle of citing document
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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2021A 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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2021Bayesian latent multi?state modeling for nonequidistant longitudinal electronic health records. (2021). Buckeridge, David L ; Verma, Aman ; Stephens, David A ; Luo, YU. In: Biometrics. RePEc:bla:biomet:v:77:y:2021:i:1:p:78-90.

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2020Unbiased Markov chain Monte Carlo methods with couplings. (2020). Atchade, Yves F ; Oleary, John ; Jacob, Pierre E. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:82:y:2020:i:3:p:543-600.

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2020Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes. (2020). Senoussi, Rachid ; Girardin, Valerie. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:4:p:590-602.

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2021Integrated nested Laplace approximations for threshold stochastic volatility models. (2021). Rue, Havard ; Lopes, Maria Helena ; de Zea, P ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31804.

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2021A cumulant approach for the first-passage-time problem of the Feller square-root process. (2021). Donofrio, Giuseppe ; di Nardo, Elvira. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:391:y:2021:i:c:s0096300320306603.

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2021Least squares estimation for path-distribution dependent stochastic differential equations. (2021). Wu, Jiang-Lun ; Ren, Panpan . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:410:y:2021:i:c:s0096300321005464.

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2020Does Bitcoin behave as a currency?: A standard monetary model approach. (2020). Wong, Andrew ; Chau, Po-Hon ; Lo, Chi-Fai ; Hui, Cho-Hoi. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301629.

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2021A stochastic differential equation approach to the analysis of the 2017 and 2019 UK general election polls. (2021). Fenner, Trevor ; Levene, Mark. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1227-1234.

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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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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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2021Sovereign Default Forecasting in the Era of the COVID-19 Crisis. (2021). Kristof, Tamas. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:10:p:494-:d:657397.

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2021.

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2021.

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2021Regularized bridge-type estimation with multiple penalties. (2021). Iafrate, Francesco ; Gregorio, Alessandro. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:73:y:2021:i:5:d:10.1007_s10463-020-00769-w.

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2020On the singular control of exchange rates. (2020). Vargiolu, Tiziano ; Ferrari, Giorgio. In: Annals of Operations Research. RePEc:spr:annopr:v:292:y:2020:i:2:d:10.1007_s10479-019-03441-6.

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2020Statistical inference for Markov chains with applications to credit risk. (2020). Fischer, Matthias ; Pfeuffer, Marius ; Mostel, Linda. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:4:d:10.1007_s00180-020-00978-0.

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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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2020Stochastic Square of the Brennan-Schwartz Diffusion Process: Statistical Computation and Application. (2020). Gutierrez-Sanchez, Ramon ; Moutabir, Ghizlane ; Nafidi, Ahmed ; Ramos-Abalos, Eva. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:22:y:2020:i:2:d:10.1007_s11009-019-09714-8.

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2020Parameter Estimation for Non-Stationary Fisher-Snedecor Diffusion. (2020). Papi, I ; Leonenko, N N ; Kulik, A M ; Uvak, N. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:22:y:2020:i:3:d:10.1007_s11009-019-09755-z.

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2021A survey of parameter and state estimation in queues. (2021). Taylor, Peter ; Nazarathy, Yoni ; Asanjarani, Azam. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:97:y:2021:i:1:d:10.1007_s11134-021-09688-w.

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2020Parametric inference for hypoelliptic ergodic diffusions with full observations. (2020). Melnykova, Anna. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:3:d:10.1007_s11203-020-09222-4.

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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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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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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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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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paper3
2016Simulation of multivariate diffusion bridges.(2016) In: Journal of the Royal Statistical Society Series B.
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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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article0
2005Statistical inference for discretely observed Markov jump processes In: Journal of the Royal Statistical Society Series B.
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article16
2007DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE In: Mathematical Finance.
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article41
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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article13
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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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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