European University Institute Library
Burke, Simon P
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Burke, Simon P
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Burke, Simon P
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Large and small sample information criteria for GARCH models based on the estimation of the Kullback-Leibler discrepancy
Forecasting exchange rate volatility using conditional variance models selected by information criteria
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3
The impact of moving average behaviour on the Johansen trace test for cointegration
Modelling non-stationary economic time series, a multivariate approach, Simon P. Burke and John Hunter
Selecting from amongst non-nested conditional variance models, information criteria and portfolio determination
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