What is the natural scale for a Lévy process in modelling term structure of interest rates ?

@inproceedings{Akahori2006WhatIT,
  title={What is the natural scale for a L{\'e}vy process in modelling term structure of interest rates ?},
  author={Jir{\^o} Akahori and Takahiro Tsuchiya},
  year={2006}
}
This paper gives examples of explicit arbitrage-free term structure models with Lévy jumps via state price density approach. By generalizing quadratic Gaussian models, it is found that the probability density function of a Lévy process is a ”natural” scale for the process to be the state variable of a market.