References verification (WP47)
Date: 2026-11-09. Method: one Crossref query.bibliographic query per item, then GET /works/{doi} on the selected record (User-Agent wp47-bib/1.0 (mailto:spbou4@icloud.com), 0.3 s between calls). Items not indexed by Crossref were verified by fetching the publisher page (IJCB, FRBNY) or the Open Library ISBN record. Published versions were preferred over working papers.
Verified: 50 / 50. Unverified: 0.
Verified entries
| bibkey | verified identifier (DOI or URL) | fetched title | year | source |
|---|---|---|---|---|
| nelson1987parsimonious | 10.1086/296409 | Parsimonious Modeling of Yield Curves | 1987 | Crossref |
| svensson1994estimating | 10.3386/w4871 | Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994 | 1994 | Crossref |
| diebold2006forecasting | 10.1016/j.jeconom.2005.03.005 | Forecasting the term structure of government bond yields | 2006 | Crossref |
| diebold2006macroeconomy | 10.1016/j.jeconom.2005.01.011 | The macroeconomy and the yield curve: a dynamic latent factor approach | 2006 | Crossref |
| christensen2011affine | 10.1016/j.jeconom.2011.02.011 | The affine arbitrage-free class of Nelson–Siegel term structure models | 2011 | Crossref |
| diebold2013yield | 10.23943/princeton/9780691146805.001.0001 | Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach | 2013 | Crossref |
| litterman1991common | 10.3905/jfi.1991.692347 | Common Factors Affecting Bond Returns | 1991 | Crossref |
| gurkaynak2007treasury | 10.1016/j.jmoneco.2007.06.029 | The U.S. Treasury yield curve: 1961 to the present | 2007 | Crossref |
| gurkaynak2005actions | https://www.ijcb.org/journal/ijcb05q2a2.htm | Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements | 2005 | IJCB page (fetched) + Crossref FEDS WP |
| kuttner2001monetary | 10.1016/s0304-3932(01)00055-1 | Monetary policy surprises and interest rates: Evidence from the Fed funds futures market | 2001 | Crossref |
| nakamura2018high | 10.1093/qje/qjy004 | High-Frequency Identification of Monetary Non-Neutrality: The Information Effect | 2018 | Crossref |
| swanson2021measuring | 10.1016/j.jmoneco.2020.09.003 | Measuring the effects of federal reserve forward guidance and asset purchases on financial markets | 2021 | Crossref |
| bauer2023reassessment | 10.1086/723574 | A Reassessment of Monetary Policy Surprises and High-Frequency Identification | 2023 | Crossref |
| andersen2007real | 10.1016/j.jinteco.2007.02.004 | Real-time price discovery in global stock, bond and foreign exchange markets | 2007 | Crossref |
| andersen2003micro | 10.1257/000282803321455151 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange | 2003 | Crossref |
| fleming1999price | 10.1111/0022-1082.00172 | Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information | 1999 | Crossref |
| balduzzi2001economic | 10.2307/2676223 | Economic News and Bond Prices: Evidence from the U.S. Treasury Market | 2001 | Crossref |
| lucca2015pre | 10.1111/jofi.12196 | The Pre-FOMC Announcement Drift | 2015 | Crossref |
| andersen2003modeling | 10.1111/1468-0262.00418 | Modeling and Forecasting Realized Volatility | 2003 | Crossref |
| barndorffnielsen2004econometric | 10.1111/j.1468-0262.2004.00515.x | Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics | 2004 | Crossref |
| corsi2009simple | 10.1093/jjfinec/nbp001 | A Simple Approximate Long-Memory Model of Realized Volatility | 2009 | Crossref |
| epps1979comovements | 10.1080/01621459.1979.10482508 | Comovements in Stock Prices in the Very Short Run | 1979 | Crossref |
| hansen2023joint | 10.1093/jjfinec/nbac001 | A Joint Model for the Term Structure of Interest Rates and Realized Volatility | 2023 | Crossref |
| andersen2010bonds | 10.1111/j.1540-6261.2009.01546.x | Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models | 2010 | Crossref |
| collindufresne2002bonds | 10.1111/1540-6261.00475 | Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility | 2002 | Crossref |
| huberman1987mimicking | 10.1111/j.1540-6261.1987.tb02546.x | Mimicking Portfolios and Exact Arbitrage Pricing | 1987 | Crossref |
| lamont2001economic | 10.1016/s0304-4076(01)00074-4 | Economic tracking portfolios | 2001 | Crossref |
| diebold1995comparing | 10.1080/07350015.1995.10524599 | Comparing Predictive Accuracy | 1995 | Crossref |
| newey1987simple | 10.2307/1913610 | A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix | 1987 | Crossref |
| patton2011volatility | 10.1016/j.jeconom.2010.03.034 | Volatility forecast comparison using imperfect volatility proxies | 2011 | Crossref |
| bollerslev1986generalized | 10.1016/0304-4076(86)90063-1 | Generalized autoregressive conditional heteroskedasticity | 1986 | Crossref |
| cieslak2016information | 10.1111/jofi.12388 | Information in the Term Structure of Yield Curve Volatility | 2016 | Crossref |
| piazzesi2005bond | 10.1086/427466 | Bond Yields and the Federal Reserve | 2005 | Crossref |
| hanson2015monetary | 10.1016/j.jfineco.2014.11.001 | Monetary policy and long-term real rates | 2015 | Crossref |
| fleming2003measuring | https://www.newyorkfed.org/research/epr/03v09n3/0309flem.html | Measuring Treasury Market Liquidity | 2003 | FRBNY EPR page (fetched) + IDEAS/RePEc record |
| brandt2004price | 10.1111/j.1540-6261.2004.00711.x | Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve | 2004 | Crossref |
| mizrach2008information | 10.1016/j.jbankfin.2007.10.007 | Information shares in the US Treasury market | 2008 | Crossref |
| hasbrouck1995one | 10.1111/j.1540-6261.1995.tb04054.x | One Security, Many Markets: Determining the Contributions to Price Discovery | 1995 | Crossref |
| koijen2010when | 10.1093/rfs/hhp058 | When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia? | 2010 | Crossref |
| bollerslev2016exploiting | 10.1016/j.jeconom.2015.10.007 | Exploiting the errors: A simple approach for improved volatility forecasting | 2016 | Crossref |
| jeleskovic2020comparing | 10.1002/jcaf.22438 | Comparing different methods for the estimation of interbank intraday yield curves | 2020 | Crossref |
| krishnamurthy2011effects | 10.1353/eca.2011.0019 | The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy | 2011 | Crossref |
| litterman1991volatility | 10.3905/jfi.1991.692346 | Volatility and the Yield Curve | 1991 | Crossref |
| hu2013noise | 10.1111/jofi.12083 | Noise as Information for Illiquidity | 2013 | Crossref |
| duffie2010presidential | 10.1111/j.1540-6261.2010.01569.x | Presidential Address: Asset Price Dynamics with Slow-Moving Capital | 2010 | Crossref |
| jiang2011information | 10.1017/s0022109010000785 | Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market | 2011 | Crossref |
| faust2007high | 10.1016/j.jmoneco.2006.05.015 | The high-frequency response of exchange rates and interest rates to macroeconomic announcements | 2007 | Crossref |
| gurkaynak2012macroeconomics | 10.1257/jel.50.2.331 | Macroeconomics and the Term Structure | 2012 | Crossref |
| cochrane2002fed | 10.1257/000282802320189069 | The Fed and Interest Rates—A High-Frequency Identification | 2002 | Crossref |
| burghardt2005treasury | https://openlibrary.org/isbn/9780071456104 | The treasury bond basis: an in-depth analysis for hedgers, speculators, and arbitrageurs | 2005 | Open Library ISBN record (fetched) |
Metadata notes / doubts
- nelson1987parsimonious: Crossref/OpenAlex give first page 473 only; last page 489 taken from Semantic Scholar record of the same DOI.
- gurkaynak2005actions: IJCB is not indexed by Crossref; vol. 1, issue 1, May 2005 confirmed on the IJCB article page, which does not display page numbers, so pages are omitted. Working-paper version FEDS 2004-66 verified on Crossref (10.17016/feds.2004.66).
- andersen2003micro: Crossref record misspells the first author as 'Anderson'; corrected to Andersen (as printed in AER).
- balduzzi2001economic: Crossref (JSTOR deposit) gives first page 523 only; last page 543 taken from Semantic Scholar record of the same DOI.
- corsi2009simple: Crossref 'issued' date is the online date (2008-11-07); no published-print date in the record. Year 2009 corresponds to vol. 7 no. 2 (Spring 2009) of JFEC, as commonly cited.
- hansen2023joint: Published online 2022-02-15; print issue vol. 21 no. 4 dated 2023-08-31 per Crossref. Year set to the print year 2023.
- newey1987simple: Crossref (JSTOR deposit) gives first page 703 only; last page 708 confirmed on the IDEAS/RePEc record (citation_lastpage=708).
- fleming2003measuring: Not indexed by Crossref. Title, author, September 2003, Volume 9 Number 3 confirmed on the FRBNY page; pages 83-108 confirmed on the IDEAS/RePEc record (citation_firstpage/lastpage).
- koijen2010when: Item 39 in the brief gave no title. The only Koijen-Nijman-Werker 2010 article found is this RFS paper (vol. 23 no. 2, print Feb. 2010; online 2009). Check that this is the intended reference before citing.
- jeleskovic2020comparing: Crossref lists two authors only: Jeleskovic and Demertzidis (the brief said 'et al.').
- jiang2011information: Online 2010-12-14; print vol. 46 no. 2 April 2011 per Crossref. Year set to print year 2011.
- burghardt2005treasury: No Crossref record (book not DOI-registered). Verified on Open Library ISBN record OL3393689M: 3rd ed., McGraw-Hill, 2005, ISBN-10 0071456104, by Galen Burghardt and Terry Belton (LC call number HG6041 .B78 2005).
Unverified
None. All 50 requested items were verified against a fetched record.
Added 2026-11-09 (revision after referee reports; verified on Crossref by the author session)
| pesaran1998generalized | 10.1016/S0165-1765(97)00214-0 | Generalized impulse response analysis in linear multivariate models | 1998 | Crossref (Economics Letters 58(1) 17–29) | | diebold2012better | 10.1016/j.ijforecast.2011.02.006 | Better to give than to receive: Predictive directional measurement of volatility spillovers | 2012 | Crossref (IJF 28(1) 57–66) |