{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,8,25]],"date-time":"2023-08-25T23:59:31Z","timestamp":1693007971140},"reference-count":43,"publisher":"Informa UK Limited","issue":"7","content-domain":{"domain":["www.tandfonline.com"],"crossmark-restriction":true},"short-container-title":["Communications in Statistics - Simulation and Computation"],"published-print":{"date-parts":[[2022,7,3]]},"DOI":"10.1080\/03610918.2020.1721540","type":"journal-article","created":{"date-parts":[[2020,2,3]],"date-time":"2020-02-03T15:04:57Z","timestamp":1580742297000},"page":"3685-3713","update-policy":"http:\/\/dx.doi.org\/10.1080\/tandf_crossmark_01","source":"Crossref","is-referenced-by-count":2,"title":["Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs"],"prefix":"10.1080","volume":"51","author":[{"given":"Michele Leonardo","family":"Bianchi","sequence":"first","affiliation":[{"name":"Regulation and Macroprudential Analysis Directorate, Bank of Italy, Rome, Italy"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"301","published-online":{"date-parts":[[2020,2,3]]},"reference":[{"key":"CIT0001","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2014.08.013"},{"key":"CIT0002","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.05.004"},{"key":"CIT0003","doi-asserted-by":"publisher","DOI":"10.12660\/bre.v25n12005.2673"},{"key":"CIT0004","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2013.04.009"},{"key":"CIT0005","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00122-2"},{"key":"CIT0006","doi-asserted-by":"crossref","unstructured":"Barone, E., D. Cuoco, and E. Zautzik. 1989. The term structure of interest rates: A test of the Cox, Ingersoll and Ross model on Italian treasury bonds. Working Paper, No. 128, Banca d\u2019Italia, Roma, Italia.","DOI":"10.2139\/ssrn.512504"},{"key":"CIT0007","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2011.03.007"},{"key":"CIT0008","doi-asserted-by":"publisher","DOI":"10.3389\/fams.2016.00022"},{"key":"CIT0009","unstructured":"Bianchi, M. L., and G. L. Tassinari. 2018. Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform. Preprint. https:\/\/arxiv.org\/abs\/1805.05584."},{"key":"CIT0010","volume-title":"Interest rate models: Theory and practice: With smile, inflation, and credit","author":"Brigo D.","year":"2006"},{"key":"CIT0011","doi-asserted-by":"publisher","DOI":"10.1023\/A:1024736903090"},{"key":"CIT0012","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"CIT0013","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2008.01.035"},{"key":"CIT0014","doi-asserted-by":"publisher","DOI":"10.2307\/1392263"},{"key":"CIT0015","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.1994.408113"},{"key":"CIT0016","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9781107045149.012"},{"key":"CIT0017","doi-asserted-by":"publisher","DOI":"10.1023\/A:1008304625054"},{"key":"CIT0018","doi-asserted-by":"publisher","DOI":"10.1142\/S2010139212500085"},{"key":"CIT0019","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.3175950"},{"key":"CIT0020","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.07.004"},{"key":"CIT0021","doi-asserted-by":"publisher","DOI":"10.1111\/j.1475-6803.1999.tb00717.x"},{"key":"CIT0022","doi-asserted-by":"crossref","unstructured":"Girardi, A., and C. Impenna. 2013. Price discovery in the Italian sovereign bonds market: The role of order flow. Working Paper, No. 906, Banca d\u2019Italia, Roma, Italia.","DOI":"10.2139\/ssrn.2259644"},{"key":"CIT0023","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-84628-737-4"},{"key":"CIT0024","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-007-0059-z"},{"key":"CIT0025","doi-asserted-by":"publisher","DOI":"10.1057\/978-1-137-36019-9_7"},{"key":"CIT0026","doi-asserted-by":"publisher","DOI":"10.1080\/17446540701689391"},{"key":"CIT0027","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2006.08.034"},{"issue":"4","key":"CIT0028","first-page":"41","volume":"8","author":"Nawalkha S. K.","year":"2010","journal-title":"Journal of Investment Management"},{"issue":"3","key":"CIT0029","first-page":"23","volume":"9","author":"Nawalkha S. K.","year":"2011","journal-title":"Journal of Investment Management"},{"key":"CIT0030","doi-asserted-by":"publisher","DOI":"10.1108\/SEF-03-2019-0116"},{"key":"CIT0031","doi-asserted-by":"publisher","DOI":"10.1108\/JRF-05-2019-0080"},{"key":"CIT0032","volume-title":"Numerical methods for finance","author":"O\u2019Sullivan C.","year":"2008"},{"key":"CIT0033","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2016.06.001"},{"key":"CIT0034","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.3239407"},{"key":"CIT0035","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.2451130"},{"key":"CIT0036","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2004.05.026"},{"key":"CIT0037","doi-asserted-by":"publisher","DOI":"10.1016\/j.automatica.2010.10.013"},{"key":"CIT0038","volume-title":"L\u00e9vy processes in credit risk","author":"Schoutens W.","year":"2009"},{"key":"CIT0039","doi-asserted-by":"publisher","DOI":"10.1142\/S021902491450023X"},{"key":"CIT0040","doi-asserted-by":"publisher","DOI":"10.1080\/00207160.2012.749348"},{"key":"CIT0041","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90016-2"},{"key":"CIT0042","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-31392-9"},{"key":"CIT0043","unstructured":"Zeytun, S., and A. Gupta. 2007. A comparative study of the Vasicek and the CIR model of the short rate. Published report of Fraunhofer Institute for Industrial Mathematics ITWM, Kaiserslautern, Germany, No. 124."}],"container-title":["Communications in Statistics - Simulation and Computation"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.tandfonline.com\/doi\/pdf\/10.1080\/03610918.2020.1721540","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,8,9]],"date-time":"2022-08-09T15:31:12Z","timestamp":1660059072000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/03610918.2020.1721540"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,2,3]]},"references-count":43,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2022,7,3]]}},"alternative-id":["10.1080\/03610918.2020.1721540"],"URL":"https:\/\/doi.org\/10.1080\/03610918.2020.1721540","relation":{},"ISSN":["0361-0918","1532-4141"],"issn-type":[{"value":"0361-0918","type":"print"},{"value":"1532-4141","type":"electronic"}],"subject":[],"published":{"date-parts":[[2020,2,3]]},"assertion":[{"value":"The publishing and review policy for this title is described in its Aims & Scope.","order":1,"name":"peerreview_statement","label":"Peer Review Statement"},{"value":"http:\/\/www.tandfonline.com\/action\/journalInformation?show=aimsScope&journalCode=lssp20","URL":"http:\/\/www.tandfonline.com\/action\/journalInformation?show=aimsScope&journalCode=lssp20","order":2,"name":"aims_and_scope_url","label":"Aim & Scope"},{"value":"2019-04-29","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-01-15","order":1,"name":"revised","label":"Revised","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-01-21","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-02-03","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}