Three processes reflecting persistence of volatility are initially formulated by evaluating three Lévy processes at a time change given by the integral of a mean-reverting square root process. The model for the mean-reverting time change is then generalized to include non-Gaussian models that...

Risk orientated disclosure is a focal issue of corporate communication. Many provisions have been implemented in the USA and in Europe to promote transparency about risks faced by companies, especially by quoted ones. The increase of mandatory risk reporting applying to companies leads to the...

Purpose of the paper: Risk orientated disclosure is a focal issue of corporate communication. Many provisions have been implemented in the USA and in Europe to promote transparency about risks faced by companies, especially by quoted ones. The increase of mandatory risk reporting applying to...