spb/wp47_uqo

1# jof250 review (integrity) — The Yield Curve at One-Minute Resolution23_Model claude-opus-5-5, effort high, 2026-11-09T19:45:22+00:00; cost 0.195688 USD. Deterministic audit appended._4567---89# Manuscript audit — The Yield Curve at One-Minute Resolution1011Generated 2026-11-09T19:44:26+00:00 (jof250 abe8945-dirty). Body words: 8020.1213## Sections1415- Introduction — role `introduction`, 1269 words16- Related literature — role `literature`, 620 words17- Data — role `data`, 717 words18- Methodology — role `empirical_design`, 1158 words19- Results — role `results`, 2636 words20- Robustness and limitations — role `robustness`, 552 words21- Conclusion — role `conclusion`, 354 words22- Pre-registered design, review, and changes — role `other`, 444 words23- Additional tables — role `other`, 12 words2425## Tables (0) and figures (7)2627- figure 7 (fig:realizedvol): never referenced2829## Equations (4, 3 labelled)3031- \ref to undefined label: tab:correlations32- \ref to undefined label: tab:dailyfactors33- \ref to undefined label: tab:data34- \ref to undefined label: tab:etf35- \ref to undefined label: tab:eventsa36- \ref to undefined label: tab:eventsb37- \ref to undefined label: tab:fidelity38- \ref to undefined label: tab:fidelityalt39- \ref to undefined label: tab:har40- \ref to undefined label: tab:spanning41- \ref to undefined label: tab:weights4243## Citations4445- \cite commands: 58; bib entries: 50 (47 with DOI)46- unknown keys: none47- DOI check: {'checked': 47, 'resolved': 47, 'unresolved': []}4849## Possibly unsupported claims (3)5051- [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.52- [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.53- [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-yea54