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1<!-- WP-HEADER:BEGIN — generated block (UQO-WP-REVIEW/publication/readme/build_readmes.py); edit below the END marker -->23<p align="center"><img src="docs/readme/banner.svg" alt="UQO Working Paper No. 47 — The Yield Curve at One-Minute Resolution" width="100%"></p>45<p align="center">6<img src="docs/readme/b-status.svg" alt="peer review: not yet peer reviewed" height="22"> <img src="docs/readme/b-field.svg" alt="field: Finance & Economics" height="22">7</p>89<p align="center">10<a href="https://git.spboucher.ai/wp47_uqo/commits/main"><img src="docs/readme/b-commits.svg" alt="commits: 10" height="22"></a> <a href="https://git.spboucher.ai/wp47_uqo/commits/main"><img src="docs/readme/b-updated.svg" alt="last commit: 2026-11-09" height="22"></a> <img src="docs/readme/b-files.svg" alt="files: 168" height="22"> <img src="docs/readme/b-lang1.svg" alt="Python: 30 files" height="22"> <img src="docs/readme/b-lang2.svg" alt="LaTeX: 26 files" height="22"> <a href="https://uqo.ca"><img src="docs/readme/b-inst.svg" alt="UQO: Sciences administratives" height="22"></a>11</p>1213<p align="center">14<a href="https://git.spboucher.ai/wp47_uqo/blob/main/paper/main.pdf"><img src="docs/readme/c-pdf.svg" alt="📄: Manuscript (PDF)" height="22"></a> <a href="https://git.spboucher.ai/wp47_uqo/commits/main"><img src="docs/readme/c-log.svg" alt="🧾: Commit history" height="22"></a> <a href="https://wp.spboucher.ai"><img src="docs/readme/c-series.svg" alt="🌐: Reviewed papers of the series" height="22"></a>15</p>1617## 🔬 Review status1819This working paper has **not yet gone through the multi-referee review** of the UQO working-paper series (blinded referee reports, editorial decision, re-execution, full revision, independent verification). Its results should be read as preliminary. Only reviewed papers of the series are presented on [wp.spboucher.ai](https://wp.spboucher.ai) and [www.spboucher.ai](https://www.spboucher.ai/research).2021<!-- WP-HEADER:END -->2223---2425# The Yield Curve at One-Minute Resolution2627**Title:** *The Yield Curve at One-Minute Resolution: Nelson–Siegel Factor-Mimicking Portfolios from Treasury Futures, 2008–2026*28**Author (paper):** Guillaume Manseau (Université Laval) — working paper without series number · **Project ID:** `wp47_uqo` (internal) ·29**Repo:** `gitsrv:srv/git/wp47_uqo.git` · **Status:** v1.0-rc, `paper/main.pdf` 45 pages (2026-11-09), after one design review and three30referee-style reviews (see `docs/`).3132**Question.** What do the three Nelson–Siegel factors (level, slope, curvature) look like minute by minute over the 23-hour CME33session, how much of the daily curve variation can Treasury futures reproduce, where in the day and on which days is yield-curve34factor risk realized, and does an announcement move last?3536**Data.** FinData OS (FirstRate Data, private licence): 1-minute bars of every individual Treasury futures contract for ZT, ZF, ZN,37TN, US, UB (2008–2026; most-traded contract per session, no roll splice), plus SR3 and five Treasury ETFs for robustness; public:38FRED constant-maturity yields, Fed GSW curve, FOMC and BLS/ALFRED release calendars (`data/external/`, downloaded 2026-11-09).3940**Construction.** Daily NS factors (λ = 0.7308) from 11 CMT maturities → rolling quarterly OLS of daily factor changes on daily41futures returns (3-year window, strictly out of sample) → weights applied to one-minute returns → minute-level factor changes on423 963 yield days (5.0 M minutes, 2011–2026), realized (co)variances, event windows, local projections, 5-minute VAR, volatility43connectedness, HAR forecasts.4445**Headline numbers (current `results/metrics/`).** Cumulated minute series vs daily CMT factor changes: R² 0.93 / 0.80 / 0.7546(level / slope / curvature); implied 2y–30y yields 0.86–0.94, 3-month yield 0.09 (the futures do not see the bill segment or the47NS short rate). 30-minute FOMC window = 18.5 % of the day's realized level variance, Employment report 30.4 %, benchmark 2.2 %;48since 2022 CPI days move the 2-year sector and the curvature more than FOMC days. FOMC 2-year moves persist (1.67 bp per bp at4910 days), CPI moves partly reverse (0.62). 1-minute level–slope correlation −0.93 vs tick-noise benchmark −0.84. HAR beats GARCH(1,1)50under QLIKE (7/9 Holm-significant) but not under MSE (1/9). Volatility connectedness 56.5 %, curvature a net receiver.5152**Hypotheses (pre-registered in `docs/DESIGN.md`, tag `design-frozen`).** H1 fidelity · H2 announcement anatomy · H3 intraday53periodicity · H4 realized factor correlations · H5 HAR vs daily benchmarks. Outcomes and every deviation from the plan:54`docs/CHANGELOG-DESIGN.md`, paper Appendix A.5556**Review workflow.** Design review before the event study (`docs/DESIGN_REVIEW.md` → `docs/DESIGN_RESPONSE.md`); three referee-style57reports on the first complete draft (`docs/REFEREE_econometric.md`, `docs/REFEREE_integrity.md`, `docs/REFEREE_exhibits.md`) →58point-by-point response and list of what was not done (`docs/RESPONSE_TO_REFEREES.md`). The main consequence of the reviews was the59rebuild of the return panel from individual contracts.6061**Layout.** `src/wp47/` library · `scripts/` pipeline (01–14, order in `docs/REPLICATION.md`) · `data/external/` public inputs ·62`data/cache/` node-only Parquet (git-ignored) · `results/metrics/` aggregates · `results/figdata/` figure inputs · `paper/` LaTeX63(12 figures, 13 tables, `references.bib` with 52 Crossref-verified entries) · `docs/` brief, design, reviews, responses, changelog,64replication, data dictionary, methodology decisions (D-01…D-25), numbers index.6566**Run.** Computation on M3U96a `~/wp47_uqo` (see `docs/REPLICATION.md`); tables, text macros, figures and LaTeX on the laptop67(`cd paper && latexmk -pdf main.tex`).6869**Licence.** No raw or derived minute bars leave the node or enter git; only aggregates are published.70