As is well-known, the benefit of restricting Lévy processes without positive jumps is the “ W,Z scale functions paradigm”, by which the knowledge of the scale functions W,Z extends immediately to other risk control problems. The same is true largely for strong Markov processes X t , with...

This paper relaxes the assumption of conditional normal innovations used by Fornari and Mele (1997) in modelling the asymmetric reaction of the conditional volatility to the arrival of news. We compare the performance of the Sign and Volatility Switching ARCH model of Fornari and Mele (1997) and...