Governments have been heavily involved in financing investments that provide environmental benefits. The Chinese government has provided various green incentives for the new energy vehicle (NEV) industry. This study evaluates the effectiveness of these low-carbon incentive policies. We estimate...

In Markov-switching regression models, we use Kullback-Leibler (KL) divergence between the true and candidate models to select the number of states and variables simultaneously. In applying Akaike information criterion (AIC), which is an estimate of KL divergence, we find that AIC retains too...

The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in modelling time series with time varying volatility. These include financial data, which can be particularly heavy tailed. It is well understood now that the tail heaviness of...