spb/wp47_uqo

1# Manuscript audit — The Yield Curve at One-Minute Resolution23Generated 2026-11-09T19:44:25+00:00 (jof250 abe8945-dirty). Body words: 8020.45## Sections67- Introduction — role `introduction`, 1269 words8- Related literature — role `literature`, 620 words9- Data — role `data`, 717 words10- Methodology — role `empirical_design`, 1158 words11- Results — role `results`, 2636 words12- Robustness and limitations — role `robustness`, 552 words13- Conclusion — role `conclusion`, 354 words14- Pre-registered design, review, and changes — role `other`, 444 words15- Additional tables — role `other`, 12 words1617## Tables (0) and figures (7)1819- figure 7 (fig:realizedvol): never referenced2021## Equations (4, 3 labelled)2223- \ref to undefined label: tab:correlations24- \ref to undefined label: tab:dailyfactors25- \ref to undefined label: tab:data26- \ref to undefined label: tab:etf27- \ref to undefined label: tab:eventsa28- \ref to undefined label: tab:eventsb29- \ref to undefined label: tab:fidelity30- \ref to undefined label: tab:fidelityalt31- \ref to undefined label: tab:har32- \ref to undefined label: tab:spanning33- \ref to undefined label: tab:weights3435## Citations3637- \cite commands: 58; bib entries: 50 (47 with DOI)38- unknown keys: none39- DOI check: {'checked': 47, 'resolved': 47, 'unresolved': []}4041## Possibly unsupported claims (3)4243- [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.44- [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.45- [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-yea4647## Overlap with the JoF corpus (8-gram shingles)4849- 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}]50