spb/wp47_uqo

1% ============================================================================2% Working Paper — Economics / Finance (template adapted; author Guillaume Manseau, Université Laval)3% ============================================================================4\documentclass[12pt,letterpaper]{article}56% --- Encoding & Language ---7\usepackage[utf8]{inputenc}8\usepackage[T1]{fontenc}9\usepackage[english]{babel}1011% --- Page Layout ---12\usepackage[13  letterpaper,14  top=1in,15  bottom=1in,16  left=1in,17  right=1in18]{geometry}1920% --- Typography ---21\usepackage{mathptmx}          % Times-like font (text + math)22\usepackage{microtype}         % Improved typographic refinements23\usepackage{setspace}24\onehalfspacing                % 1.5 line spacing2526% --- Math ---27\usepackage{amsmath,amssymb,amsthm}2829% --- Tables ---30\usepackage{booktabs}31\usepackage{tabularx}32\usepackage{multirow}33\usepackage{threeparttable}34\usepackage{siunitx}35\sisetup{36  input-symbols = {()},37  table-format  = -1.3,38  parse-numbers = false39}4041% --- Figures ---42\usepackage{graphicx}43\usepackage{subcaption}44\usepackage{float}4546% --- Colors & Links ---47\usepackage[dvipsnames]{xcolor}48\usepackage[49  colorlinks  = true,50  linkcolor   = NavyBlue,51  citecolor   = NavyBlue,52  urlcolor    = NavyBlue,53  breaklinks  = true54]{hyperref}5556% --- Bibliography ---57\usepackage[authoryear,round,semicolon]{natbib}58\bibliographystyle{aer}5960% --- Captions ---61\usepackage[62  font       = small,63  labelfont  = bf,64  labelsep   = period,65  justification = justified,66  singlelinecheck = false67]{caption}6869% --- Headers & Footers ---70\usepackage{fancyhdr}71\pagestyle{fancy}72\fancyhf{}73\renewcommand{\headrulewidth}{0pt}74\fancyfoot[C]{\thepage}7576% --- Section Formatting ---77\usepackage{titlesec}78\titleformat{\section}{\large\bfseries}{\thesection.}{0.5em}{}79\titleformat{\subsection}{\normalsize\bfseries}{\thesubsection.}{0.5em}{}80\titleformat{\subsubsection}{\normalsize\itshape}{\thesubsubsection.}{0.5em}{}8182% --- Appendix Support ---83\usepackage[toc,page]{appendix}8485% --- Misc ---86\usepackage{enumitem}87\setlist{nosep,leftmargin=*}8889% ============================================================================90% METADATA — Edit these fields for each working paper91% ============================================================================92\newcommand{\WPnumber}{47}93\newcommand{\WPtitle}{The Yield Curve at One-Minute Resolution}94\newcommand{\WPsubtitle}{Nelson--Siegel Factor-Mimicking Portfolios from Treasury Futures, 2008--2026}95\newcommand{\WPdate}{November 2026}96\newcommand{\WPversion}{1.0}97\newcommand{\WPabstract}{%98  The Nelson--Siegel level, slope and curvature factors are observed once a day because their inputs are end-of-day yields.99  Nothing in the model requires that frequency. This paper builds factor-mimicking portfolios of six Treasury futures (2-, 5-,100  10-year, ultra-10, bond and ultra-bond) from daily data and applies them to one-minute futures returns, producing101  minute-by-minute changes in the three factors over the 23-hour CME session on \nYieldDaysFactors{} trading days102  (\nMinutesFactorsM{} million minutes) from 2011 to 2026. Summed over the day, the out-of-sample intraday series reproduces103  the daily factor changes with $R^2$ of \fidCumLevelAll{} (level), \fidCumSlopeAll{} (slope) and \fidCumCurvAll{}104  (curvature), and the implied 2- to 30-year yields with $R^2$ of \fidYTwoY{} to \fidYTenY{}; the bill segment and the105  Nelson--Siegel short rate are not identified by the futures ($R^2$ of \fidYThreeM{} for the 3-month yield), and an106  independent duration-based construction from Treasury ETFs agrees in direction and timing on the level and on FOMC windows. Four sets of facts follow. Scheduled107  announcements concentrate yield-curve risk: a 30-minute window around FOMC statements carries \fomcRvShareLevelPct{} of108  the day's realized level variance and the Employment report \empRvShareLevelPct{}, against \benchSharePct{} for an109  arbitrary window, and since 2022 CPI releases move the two-year sector and the curvature more than FOMC statements do.110  Local-projection impulse responses show that the 2-year move in an FOMC window is not reversed over ten days111  (\lpFomcTwoYDTen{} basis points per basis point) while the CPI move is partly reversed on average (\lpCpiTwoYDTen{}, with a112  wide interval). Factor volatility has a113  pronounced intraday periodicity, about a quarter of the one-minute level variance is tick-size noise and the one-minute level--slope correlation is114  close to the noise-implied value, and the factors'115  volatilities are tightly connected (Diebold--Yilmaz index \volTotal{}\%), with curvature a net receiver. HAR models on116  realized factor variances beat GARCH(1,1) on daily factor changes under QLIKE at one-, five- and 22-day horizons for all117  three factors (\harHolmBelowFive{} of nine comparisons significant after a Holm adjustment), but not under MSE. The paper is118  a measurement contribution: it says how much of the daily factors futures can reproduce, and where in the day and on which119  days yield-curve factor risk is realized.120}121\newcommand{\WPkeywords}{Nelson--Siegel; term structure; Treasury futures; high-frequency data; factor-mimicking portfolios; macroeconomic announcements; realized volatility}122\newcommand{\WPjel}{E43, G12, G14, C58}123124% --- Author ---125\newcommand{\WPauthor}{Guillaume Manseau}126\newcommand{\WPaffiliation}{%127  Université Laval%128}129\newcommand{\WPemail}{}130\newcommand{\WPaddress}{%131  Québec, Québec, Canada%132}133134% ============================================================================135% DOCUMENT136% ============================================================================137\input{numbers}138\input{numbers_text}139\begin{document}140141% --- Title Page ---142\input{sections/titlepage}143144% --- Main Body ---145\input{sections/introduction}146\input{sections/literature}147\input{sections/data}148\input{sections/methodology}149\input{sections/results}150\input{sections/robustness}151\input{sections/conclusion}152153% --- References ---154\newpage155\bibliography{references}156157% --- Appendix ---158\input{appendix/appendix}159160\end{document}161