# Literature search log (2026-11-09)

Queries (WebSearch, extended + standard), 2026-11-09:

1. "intraday Nelson-Siegel yield curve factors high-frequency Treasury futures level slope curvature announcements" — no direct hit; general DNS material (Diebold–Li; Uppsala thesis; GitHub daily FRED project).
2. "Nelson-Siegel realized volatility yield curve factors intraday data paper" — closest: Jeleskovic et al. (2020, J. Corp. Acc. & Fin.) intraday NS curves on e-MID interbank market (curve fitting only); shadow-rate DNS (JBES 2025) uses daily RV benchmark.
3. "dynamic Nelson-Siegel recent extensions 2023–2026" — smooth shadow-rate DNS (Tinbergen/JBES), functional time-series factor models, constrained B-splines; nothing intraday.
4. "high-frequency identification monetary policy surprises Treasury futures intraday yield curve factors" — GSS (2005) target/path, Swanson (2021) three factors from FOMC windows, Bauer–Swanson (2023) reassessment, Kaminska–Mumtaz–Šustek (BoE WP).
5. "Nelson-Siegel bond/futures returns duration intraday minute Treasury futures" — Guidolin–Ionta (2025, Econometrics) monthly return prediction with NS factors; nothing intraday.
6. "intraday Treasury yield curve factors realized covariance level slope curvature high-frequency 2024 2025" — Hansen (2023, JFEC) joint yield/realized covariation model, 1990–2019 Treasury; Bannouh–van Dijk–Martens realized co-range.

Conclusion: no paper found that builds minute-frequency Nelson–Siegel factors from Treasury futures via validated mimicking portfolios. Adjacent literatures: announcement effects in bond futures (ABDV 2007; Fleming–Remolona 1999; Balduzzi–Elton–Green 2001), high-frequency monetary policy surprises (Kuttner 2001; GSS 2005; Nakamura–Steinsson 2018; Swanson 2021), realized covariation of yields (Hansen 2023; Andersen–Benzoni 2010 on unspanned stochastic volatility), DNS (Diebold–Li 2006; Diebold–Rudebusch–Aruoba 2006; Christensen–Diebold–Rudebusch 2011), factor-mimicking portfolios (Huberman–Kandel–Stambaugh 1987; Lamont 2001).