# Manuscript audit — The Yield Curve at One-Minute Resolution

Generated 2026-11-09T19:44:25+00:00 (jof250 abe8945-dirty). Body words: 8020.

# Sections

• Introduction — role introduction, 1269 words
• Related literature — role literature, 620 words
• Data — role data, 717 words
• Methodology — role empirical_design, 1158 words
• Results — role results, 2636 words
• Robustness and limitations — role robustness, 552 words
• Conclusion — role conclusion, 354 words
• Pre-registered design, review, and changes — role other, 444 words
• Additional tables — role other, 12 words

# Tables (0) and figures (7)

• figure 7 (fig:realizedvol): never referenced

# Equations (4, 3 labelled)

• \ref to undefined label: tab:correlations
• \ref to undefined label: tab:dailyfactors
• \ref to undefined label: tab:data
• \ref to undefined label: tab:etf
• \ref to undefined label: tab:eventsa
• \ref to undefined label: tab:eventsb
• \ref to undefined label: tab:fidelity
• \ref to undefined label: tab:fidelityalt
• \ref to undefined label: tab:har
• \ref to undefined label: tab:spanning
• \ref to undefined label: tab:weights

# Citations

• \cite commands: 58; bib entries: 50 (47 with DOI)
• unknown keys: none
• DOI check: {'checked': 47, 'resolved': 47, 'unresolved': []}

# Possibly unsupported claims (3)

• [reduces] Estimating $\lambda$ by non-linear least squares over the same period gives \lambdaHat{} and reduces the error to \fitRmseLamHatBp{} basis points; we keep the fixed value, which makes the loadings constant over time and the factors comparable with the literature.
• [shows that] Out of sample, the construction reproduces the daily level factor almost completely, the slope and curvature factors to the extent that the futures span the curve beyond the bill segment, and a cash-yield ceiling shows that most of what is lost is the bill segment rather than the futures basis.
• [lower] Scheduled releases concentrate yield-curve risk: a thirty-minute window around the Employment report carries a third of the day's realized factor variance and the FOMC statement a fifth, and the mix of factors in the response has shifted from the short rate during the zero lower bound to the two-yea

# Overlap with the JoF corpus (8-gram shingles)

• max share of manuscript shingles found in one corpus document: 0.0002 [{'doc_id': 'jof_12969', 'share': 0.0002}, {'doc_id': 'jof_12885', 'share': 0.0002}, {'doc_id': 'jof_12882', 'share': 0.0002}]