Michael SØrensen

Finance · 2000–2012

A researcher in the Science corpus: 13 papers; trusts 36 researchers and is trusted by 42 researchers here, as inferred from the citation graph.

Subfields

• Finance — 75 citations into it; #768 of 10,518 by trust here, #1,200 by citations
• Statistics and Probability — 51 citations into it; #6,764 of 12,932 by trust here, #5,294 by citations
• Economics and Econometrics — 30 citations into it; #4,443 of 23,481 by trust here, #6,570 by citations
• Artificial Intelligence — 19 citations into it
• Mathematical Physics — 18 citations into it; #3,291 of 8,562 by trust here, #5,794 by citations
• Modeling and Simulation — 10 citations into it
• Molecular Biology — 7 citations into it
• Public Health, Environmental and Occupational Health — 6 citations into it

Whom Michael SØrensen trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Ole E. Barndorff-Nielsen
2. Bo Martin Bibby
3. Lars Peter Hansen
4. Bjørn Eraker
5. Emmanuel Gobet
6. Yacine Aït-Sahalia
7. Mathieu Kessler
8. Masayuki Uchida
9. N. Shephard
10. A. Pedersen

Who trusts Michael SØrensen overall

1. Bo Martin Bibby
2. Arnaud Gloter
3. Masayuki Uchida
4. Hongwei Long
5. Susanne Ditlevsen
6. Christian Pigorsch
7. Peter C. B. Phillips
8. Chunhua Ma
9. Robert Stelzer
10. Martin Jacobsen

Papers from Michael SØrensen's perspective

Ordered by how strongly the researchers Michael SØrensen trusts endorse each paper. Same corpus, a different order for every researcher.

1. MCMC Analysis of Diffusion Models With Application to Finance
2. The Variance Gamma (V.G.) Model for Share Market Returns
3. The Distribution of Realized Exchange Rate Volatility
4. LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OF
5. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
6. Likelihood INference for Discretely Observed Non-linear Diffusions
7. The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures
8. Mixing: Properties and Examples
9. An Introduction to Probability Theory and Its Applications
10. Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models

Their papers

• Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics (2005) — 103 citations
• Hyperbolic Processes in Finance (2003) — 155 citations
• Small-diffusion asymptotics for discretely sampled stochastic differential equations (2003) — 81 citations
• Diffusion-type models with given marginal distribution and autocorrelation function (2005) — 143 citations
• Statistical inference for discretely observed Markov jump processes (2005) — 185 citations
• Estimation for stochastic differential equations with a small diffusion coefficient (2009) — 61 citations
• CHAPTER 4 – Estimating Functions for Discretely Sampled Diffusion-Type Models (2010) — 77 citations
• Statistical Methods for Stochastic Differential Equations (2012) — 62 citations
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes (2008) — 200 citations
• Inference for Observations of Integrated Diffusion Processes (2004) — 83 citations
• Estimation for discretely observed diffusions using transform functions (2003) — 64 citations
• Simplified Estimating Functions for Diffusion Models with a High‐dimensional Parameter (2001) — 58 citations
• Prediction-based estimating functions (2000) — 133 citations