Michael Sørensen

Michael Sørensen

Professor

ORCID: 0000-0001-7233-5377

Publication year:
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51 - 75 out of 99Page size: 25
  1. 2002
  2. Published

    Empirical Process Techniques for Dependent Data

    Dehling, H. G. (ed.), Mikosch, Thomas Valentin (ed.) & Sørensen, Michael (ed.), 2002, Boston: Birkhäuser Verlag. 545 p.

    Research output: Book/Report › Anthology › Research › peer-review

  3. 2003
  4. Published

    En Introduktion til Sandsynlighedsregning.

    Sørensen, Michael, 2003, 4. ed. Københavns Universitet: Universitetsbogladen. 287 p.

    Research output: Book/Report › Book › Education

  5. Published

    Hyperbolic Processes in Finance

    Bibby, B. M. & Sørensen, Michael, 2003, Handbook of Heavy Tailed Distributions in Finance. Elsevier, p. 211-248

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  6. Published

    Small-diffusion asymptotics for discretely sampled stochastic differential equations

    Sørensen, Michael & Uchida, M., 2003, In: Bernoulli. 9 (6), p. 1051 - 1069

    Research output: Contribution to journal › Journal article › Research › peer-review

  7. 2004
  8. Published

    Diffusion Processes

    Sørensen, Michael, 2004, Encyclopedia of Actuarial Science. Wiley, Vol. 1. p. 523-527

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

  9. Published

    Estimation for Discretely observed Diffusions using Transform Functions

    Kelly, L., Platen, E. & Sørensen, Michael, 2004, In: Journal of Applied Probability. 41A, p. 99-118

    Research output: Contribution to journal › Journal article › Research › peer-review

  10. Published

    Inference for Observations of Integrated Diffusion Processes

    Ditlevsen, Susanne & Sørensen, Michael, 2004, In: Scandinavian Journal of Statistics. Vol. 31, p. 417-429

    Research output: Contribution to journal › Journal article › Research › peer-review

  11. Published

    Martingale estimating functions for discretely observed stochastic differential equation models

    Sørensen, Michael, 2004, International Minicourse-Workshop. Interplay between (C0)-semigroups and PDEs theory and applications. Rom: Aracne editrice, p. 213-236

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  12. Published

    On the rate of aeolian sand transport

    Sørensen, Michael, 2004, In: Geomorphology. 59, 1, p. 53-62

    Research output: Contribution to journal › Journal article › Research › peer-review

  13. Published

    Ornstein-Uhlenbeck Process

    Sørensen, Michael, 2004, Encyclopedia of actuarial science. Vol 3 (O-Z) ed. Wiley, p. 1229-1230

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

  14. Published

    Probabilistic modeling of bed-load composition

    McEwan, I., Sørensen, Michael, Heald, J., Tait, S., Cunningham, G., Goring, D. & Willetts, B., 2004, In: Journal of Hydraulic Engineering (New York). 130, 2, p. 129-139

    Research output: Contribution to journal › Journal article › Research › peer-review

  15. 2005
  16. Published

    Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics

    Sørensen, Michael, 2005, In: Statistical Science. 20, p. 344-346

    Research output: Contribution to journal › Journal article › Research › peer-review

  17. Published

    Contribution to the discussion of a paper by Kou, Xie and Liu

    Jacobsen, Martin & Sørensen, Michael, 2005, In: Journal of the Royal Statistic Society, Series C: Applied Statistics. 54, p. 502-503

    Research output: Contribution to journal › Journal article › Research › peer-review

  18. Published

    Contribution to the discussion of the paper "Local model uncertainty and incompletedata bias" by John Copas and Shinto Educhi

    Sørensen, Michael, 2005, In: Journal of The Royal Statistical Society Series B-statistical Methodology. 67, p. 500-501

    Research output: Contribution to journal › Journal article › Research › peer-review

  19. Published

    Diffusion-type models with given marginal distribution and autocorrelation function

    Bibby, B. M., Skovgaard, I. M. & Sørensen, Michael, 2005, In: Bernoulli. 11, 2, p. 191-220 10 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  20. Published

    Dynamics of Particles in Aeolian Saltation

    Rasmussen, K. R. & Sørensen, Michael, 2005, Powders and Grains 2005. García-Rojo, R., Herrmann, H. J. & McNamara, S. (eds.). A.A. Balkema: <Forlag uden navn>, Vol. 2. p. 967-972

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  21. Published

    On Time-Reversibility and Estimating Functions for Markov Processes

    Kessler, M. & Sørensen, Michael, 2005, In: Statistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems. 8, 1, p. 95-107

    Research output: Contribution to journal › Journal article › Research › peer-review

  22. Published

    Statistical inference for discretely observed Markov jump processes

    Bladt, M. & Sørensen, Michael, 2005, In: Journal of The Royal Statistical Society Series B-statistical Methodology. 37, 3, p. 395-410

    Research output: Contribution to journal › Journal article › Research › peer-review

  23. 2006
  24. Published

    On the Size Distribution of Sand

    Sørensen, Michael, 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, p. 1-11.

    Research output: Working paper › Research

  25. 2007
  26. Published

    Diffusion models for exchange rates in a target zone

    Sørensen, Michael & Larsen, K. S., 2007, In: Mathematical Finance. 17, p. 285 - 306

    Research output: Contribution to journal › Journal article › Research › peer-review

  27. 2008
  28. Published

    The Pearson diffusions: A class of statistically tractablediffusion processes

    Forman, Julie Lyng & Sørensen, Michael, 2008, In: Scandinavian Journal of Statistics. 35, p. 438 - 465

    Research output: Contribution to journal › Journal article › Research › peer-review

  29. 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. 113

    Research output: Contribution to journal › Journal article › Research › peer-review

  30. 2009
  31. 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

  32. 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

  33. 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

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