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Economics and Finance
Denmark
2026
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Mathematics
Denmark
2026

D-Index & Metrics

Economics and Finance

D-Index
56
Citations
98459
World Ranking
961
National Ranking
4

Mathematics

D-Index
60
Citations
99903
World Ranking
525
National Ranking
3

Research.com Recognitions

  • 2026 - Research.com Economics and Finance in Denmark Leader Award
  • 2026 - Research.com Mathematics in Denmark Leader Award
  • 2025 - Research.com Mathematics in Denmark Leader Award
  • 2023 - Research.com Mathematics in Denmark Leader Award
  • 2010 - Member of Academia Europaea

Overview

Søren Johansen is affiliated with the University of Copenhagen in Denmark. Their research primarily intersects the fields of Economics, Econometrics, and Finance, with substantial contributions also made in Mathematics. Their work spans several subfields, including Statistics and Probability, Finance, Economics and Econometrics, Statistics, Probability and Uncertainty, and Oceanography.

Their research topics cover a range of areas such as Statistical Methods and Inference, Financial Risk and Volatility Modeling, Stochastic Processes and Financial Applications, Advanced Statistical Methods and Models, Advanced Statistical Process Monitoring, Geophysics and Gravity Measurements, and Climate Variability and Models.

Recent publications by Søren Johansen include the following:

  • "A model where the least trimmed squares estimator is maximum likelihood," 2023, Journal of the Royal Statistical Society Series B (Statistical Methodology)
  • "Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature," 2020, Econometrics
  • "Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models," 2023, Journal of Time Series Analysis
  • "Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models," 2021, SSRN Electronic Journal
  • "Weak convergence to derivatives of fractional Brownian motion," 2022, arXiv (Cornell University)

Their frequent co-authors include:

  • Morten Ørregaard Nielsen
  • Vanessa Berenguer-Rico
  • Bent Nielsen
  • Eric Hillebrand
  • Torben Schmith

Søren Johansen's work has been published in the following venues on multiple occasions:

  • Journal of the Royal Statistical Society Series B (Statistical Methodology)
  • Econometrics
  • Journal of Time Series Analysis
  • SSRN Electronic Journal
  • arXiv (Cornell University)

In 2010, they were recognized as a Member of Academia Europaea.

Best Publications

  • STATISTICAL ANALYSIS OF COINTEGRATION VECTORS

    Søren Johansen

  • MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

    Søren Johansen;Katarina Juselius

  • ESTIMATION AND HYPOTHESIS TESTING OF COINTEGRATION VECTORS IN GAUSSIAN VECTOR AUTOREGRESSIVE MODELS

    Soren Johansen

  • Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

    Søren Johansen

  • Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK

    Soren Johansen;Katarina Juselius

  • DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND

    Søren Johansen

  • Cointegration in partial systems and the efficiency of single-equation analysis

    Søren Johansen

  • Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend.

    S. Johansen;Rocco Roberto Mosconi;B. Nielsen

  • Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend

    Bent Nielsen;Soren Johansen;Rocco Mosconi

  • Identification of the long-run and the short-run structure an application to the ISLM model

    Søren Johansen;Katarina Juselius

  • Testing weak exogeneity and the order of cointegration in UK money demand data

    Søren Johansen

  • Some tests for parameter constancy in cointegrated VAR-models

    Henrik Hansen;Søren Johansen

  • Identifying restrictions of linear equations with applications to simultaneous equations and cointegration

    Søren Johansen

  • A Survey of Product-Integration with a View Toward Application in Survival Analysis

    Richard D. Gill;Soren Johansen

  • A Stastistical Analysis of Cointegration for I(2) Variables

    Søren Johansen

  • A SMALL SAMPLE CORRECTION FOR THE TEST OF COINTEGRATING RANK IN THE VECTOR AUTOREGRESSIVE MODEL

    Soren Johansen

  • Recursive Estimation in Cointegrated VAR-Models

    Henrik Hansen;Soren Johansen

  • Asymptotic Inference on Cointegrating Rank in Partial Systems

    Ingrid Harbo;Søren Johansen;Bent Nielsen;Anders Rahbek

  • The role of the constant and linear terms in cointegration analysis of nonstationary variables

    Unknown

  • Likelihood inference for a fractionally cointegrated vector autoregressive model

    SÃÿren Johansen;Morten ßrregaard Nielsen

  • Automatic selection of indicators in a fully saturated regression

    Carlos Santos;David F. Hendry;Soren Johansen

Frequent Co-Authors

Roman Frydman
Roman Frydman New York University
David F. Hendry
David F. Hendry University of Oxford
Richard D. Gill
Richard D. Gill Leiden University
Helmut Lütkepohl
Helmut Lütkepohl Freie Universität Berlin
Kevin D. Hoover
Kevin D. Hoover Duke University
Peter Reinhard Hansen
Peter Reinhard Hansen University of North Carolina at Chapel Hill
Anthony C. Atkinson
Anthony C. Atkinson London School of Economics and Political Science
Iain M. Johnstone
Iain M. Johnstone Stanford University
Steffen L. Lauritzen
Steffen L. Lauritzen University of Copenhagen

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