1# References verification (WP47)23Date: 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.45Verified: 50 / 50. Unverified: 0.67## Verified entries89| bibkey | verified identifier (DOI or URL) | fetched title | year | source |10|---|---|---|---|---|11| nelson1987parsimonious | [10.1086/296409](https://doi.org/10.1086/296409) | Parsimonious Modeling of Yield Curves | 1987 | Crossref |12| svensson1994estimating | [10.3386/w4871](https://doi.org/10.3386/w4871) | Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994 | 1994 | Crossref |13| diebold2006forecasting | [10.1016/j.jeconom.2005.03.005](https://doi.org/10.1016/j.jeconom.2005.03.005) | Forecasting the term structure of government bond yields | 2006 | Crossref |14| diebold2006macroeconomy | [10.1016/j.jeconom.2005.01.011](https://doi.org/10.1016/j.jeconom.2005.01.011) | The macroeconomy and the yield curve: a dynamic latent factor approach | 2006 | Crossref |15| christensen2011affine | [10.1016/j.jeconom.2011.02.011](https://doi.org/10.1016/j.jeconom.2011.02.011) | The affine arbitrage-free class of Nelson–Siegel term structure models | 2011 | Crossref |16| diebold2013yield | [10.23943/princeton/9780691146805.001.0001](https://doi.org/10.23943/princeton/9780691146805.001.0001) | Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach | 2013 | Crossref |17| litterman1991common | [10.3905/jfi.1991.692347](https://doi.org/10.3905/jfi.1991.692347) | Common Factors Affecting Bond Returns | 1991 | Crossref |18| gurkaynak2007treasury | [10.1016/j.jmoneco.2007.06.029](https://doi.org/10.1016/j.jmoneco.2007.06.029) | The U.S. Treasury yield curve: 1961 to the present | 2007 | Crossref |19| gurkaynak2005actions | [https://www.ijcb.org/journal/ijcb05q2a2.htm](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 |20| kuttner2001monetary | [10.1016/s0304-3932(01)00055-1](https://doi.org/10.1016/s0304-3932(01)00055-1) | Monetary policy surprises and interest rates: Evidence from the Fed funds futures market | 2001 | Crossref |21| nakamura2018high | [10.1093/qje/qjy004](https://doi.org/10.1093/qje/qjy004) | High-Frequency Identification of Monetary Non-Neutrality: The Information Effect | 2018 | Crossref |22| swanson2021measuring | [10.1016/j.jmoneco.2020.09.003](https://doi.org/10.1016/j.jmoneco.2020.09.003) | Measuring the effects of federal reserve forward guidance and asset purchases on financial markets | 2021 | Crossref |23| bauer2023reassessment | [10.1086/723574](https://doi.org/10.1086/723574) | A Reassessment of Monetary Policy Surprises and High-Frequency Identification | 2023 | Crossref |24| andersen2007real | [10.1016/j.jinteco.2007.02.004](https://doi.org/10.1016/j.jinteco.2007.02.004) | Real-time price discovery in global stock, bond and foreign exchange markets | 2007 | Crossref |25| andersen2003micro | [10.1257/000282803321455151](https://doi.org/10.1257/000282803321455151) | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange | 2003 | Crossref |26| fleming1999price | [10.1111/0022-1082.00172](https://doi.org/10.1111/0022-1082.00172) | Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information | 1999 | Crossref |27| balduzzi2001economic | [10.2307/2676223](https://doi.org/10.2307/2676223) | Economic News and Bond Prices: Evidence from the U.S. Treasury Market | 2001 | Crossref |28| lucca2015pre | [10.1111/jofi.12196](https://doi.org/10.1111/jofi.12196) | The Pre-FOMC Announcement Drift | 2015 | Crossref |29| andersen2003modeling | [10.1111/1468-0262.00418](https://doi.org/10.1111/1468-0262.00418) | Modeling and Forecasting Realized Volatility | 2003 | Crossref |30| barndorffnielsen2004econometric | [10.1111/j.1468-0262.2004.00515.x](https://doi.org/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 |31| corsi2009simple | [10.1093/jjfinec/nbp001](https://doi.org/10.1093/jjfinec/nbp001) | A Simple Approximate Long-Memory Model of Realized Volatility | 2009 | Crossref |32| epps1979comovements | [10.1080/01621459.1979.10482508](https://doi.org/10.1080/01621459.1979.10482508) | Comovements in Stock Prices in the Very Short Run | 1979 | Crossref |33| hansen2023joint | [10.1093/jjfinec/nbac001](https://doi.org/10.1093/jjfinec/nbac001) | A Joint Model for the Term Structure of Interest Rates and Realized Volatility | 2023 | Crossref |34| andersen2010bonds | [10.1111/j.1540-6261.2009.01546.x](https://doi.org/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 |35| collindufresne2002bonds | [10.1111/1540-6261.00475](https://doi.org/10.1111/1540-6261.00475) | Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility | 2002 | Crossref |36| huberman1987mimicking | [10.1111/j.1540-6261.1987.tb02546.x](https://doi.org/10.1111/j.1540-6261.1987.tb02546.x) | Mimicking Portfolios and Exact Arbitrage Pricing | 1987 | Crossref |37| lamont2001economic | [10.1016/s0304-4076(01)00074-4](https://doi.org/10.1016/s0304-4076(01)00074-4) | Economic tracking portfolios | 2001 | Crossref |38| diebold1995comparing | [10.1080/07350015.1995.10524599](https://doi.org/10.1080/07350015.1995.10524599) | Comparing Predictive Accuracy | 1995 | Crossref |39| newey1987simple | [10.2307/1913610](https://doi.org/10.2307/1913610) | A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix | 1987 | Crossref |40| patton2011volatility | [10.1016/j.jeconom.2010.03.034](https://doi.org/10.1016/j.jeconom.2010.03.034) | Volatility forecast comparison using imperfect volatility proxies | 2011 | Crossref |41| bollerslev1986generalized | [10.1016/0304-4076(86)90063-1](https://doi.org/10.1016/0304-4076(86)90063-1) | Generalized autoregressive conditional heteroskedasticity | 1986 | Crossref |42| cieslak2016information | [10.1111/jofi.12388](https://doi.org/10.1111/jofi.12388) | Information in the Term Structure of Yield Curve Volatility | 2016 | Crossref |43| piazzesi2005bond | [10.1086/427466](https://doi.org/10.1086/427466) | Bond Yields and the Federal Reserve | 2005 | Crossref |44| hanson2015monetary | [10.1016/j.jfineco.2014.11.001](https://doi.org/10.1016/j.jfineco.2014.11.001) | Monetary policy and long-term real rates | 2015 | Crossref |45| fleming2003measuring | [https://www.newyorkfed.org/research/epr/03v09n3/0309flem.html](https://www.newyorkfed.org/research/epr/03v09n3/0309flem.html) | Measuring Treasury Market Liquidity | 2003 | FRBNY EPR page (fetched) + IDEAS/RePEc record |46| brandt2004price | [10.1111/j.1540-6261.2004.00711.x](https://doi.org/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 |47| mizrach2008information | [10.1016/j.jbankfin.2007.10.007](https://doi.org/10.1016/j.jbankfin.2007.10.007) | Information shares in the US Treasury market | 2008 | Crossref |48| hasbrouck1995one | [10.1111/j.1540-6261.1995.tb04054.x](https://doi.org/10.1111/j.1540-6261.1995.tb04054.x) | One Security, Many Markets: Determining the Contributions to Price Discovery | 1995 | Crossref |49| koijen2010when | [10.1093/rfs/hhp058](https://doi.org/10.1093/rfs/hhp058) | When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia? | 2010 | Crossref |50| bollerslev2016exploiting | [10.1016/j.jeconom.2015.10.007](https://doi.org/10.1016/j.jeconom.2015.10.007) | Exploiting the errors: A simple approach for improved volatility forecasting | 2016 | Crossref |51| jeleskovic2020comparing | [10.1002/jcaf.22438](https://doi.org/10.1002/jcaf.22438) | Comparing different methods for the estimation of interbank intraday yield curves | 2020 | Crossref |52| krishnamurthy2011effects | [10.1353/eca.2011.0019](https://doi.org/10.1353/eca.2011.0019) | The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy | 2011 | Crossref |53| litterman1991volatility | [10.3905/jfi.1991.692346](https://doi.org/10.3905/jfi.1991.692346) | Volatility and the Yield Curve | 1991 | Crossref |54| hu2013noise | [10.1111/jofi.12083](https://doi.org/10.1111/jofi.12083) | Noise as Information for Illiquidity | 2013 | Crossref |55| duffie2010presidential | [10.1111/j.1540-6261.2010.01569.x](https://doi.org/10.1111/j.1540-6261.2010.01569.x) | Presidential Address: Asset Price Dynamics with Slow-Moving Capital | 2010 | Crossref |56| jiang2011information | [10.1017/s0022109010000785](https://doi.org/10.1017/s0022109010000785) | Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market | 2011 | Crossref |57| faust2007high | [10.1016/j.jmoneco.2006.05.015](https://doi.org/10.1016/j.jmoneco.2006.05.015) | The high-frequency response of exchange rates and interest rates to macroeconomic announcements | 2007 | Crossref |58| gurkaynak2012macroeconomics | [10.1257/jel.50.2.331](https://doi.org/10.1257/jel.50.2.331) | Macroeconomics and the Term Structure | 2012 | Crossref |59| cochrane2002fed | [10.1257/000282802320189069](https://doi.org/10.1257/000282802320189069) | The Fed and Interest Rates—A High-Frequency Identification | 2002 | Crossref |60| burghardt2005treasury | [https://openlibrary.org/isbn/9780071456104](https://openlibrary.org/isbn/9780071456104) | The treasury bond basis: an in-depth analysis for hedgers, speculators, and arbitrageurs | 2005 | Open Library ISBN record (fetched) |6162## Metadata notes / doubts6364- **nelson1987parsimonious**: Crossref/OpenAlex give first page 473 only; last page 489 taken from Semantic Scholar record of the same DOI.65- **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).66- **andersen2003micro**: Crossref record misspells the first author as 'Anderson'; corrected to Andersen (as printed in AER).67- **balduzzi2001economic**: Crossref (JSTOR deposit) gives first page 523 only; last page 543 taken from Semantic Scholar record of the same DOI.68- **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.69- **hansen2023joint**: Published online 2022-02-15; print issue vol. 21 no. 4 dated 2023-08-31 per Crossref. Year set to the print year 2023.70- **newey1987simple**: Crossref (JSTOR deposit) gives first page 703 only; last page 708 confirmed on the IDEAS/RePEc record (citation_lastpage=708).71- **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).72- **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.73- **jeleskovic2020comparing**: Crossref lists two authors only: Jeleskovic and Demertzidis (the brief said 'et al.').74- **jiang2011information**: Online 2010-12-14; print vol. 46 no. 2 April 2011 per Crossref. Year set to print year 2011.75- **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).7677## Unverified7879None. All 50 requested items were verified against a fetched record.8081## Added 2026-11-09 (revision after referee reports; verified on Crossref by the author session)82| pesaran1998generalized | 10.1016/S0165-1765(97)00214-0 | Generalized impulse response analysis in linear multivariate models | 1998 | Crossref (Economics Letters 58(1) 17–29) |83| 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) |84