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1{2 "date": "2026-11-09",3 "n_verified": 52,4 "n_unverified": 0,5 "unverified": [],6 "entries": [7  {8   "bibkey": "nelson1987parsimonious",9   "entry_type": "article",10   "verified_identifier": "10.1086/296409",11   "fetched_title": "Parsimonious Modeling of Yield Curves",12   "year": 1987,13   "source": "Crossref",14   "note": "Crossref/OpenAlex give first page 473 only; last page 489 taken from Semantic Scholar record of the same DOI."15  },16  {17   "bibkey": "svensson1994estimating",18   "entry_type": "techreport",19   "verified_identifier": "10.3386/w4871",20   "fetched_title": "Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994",21   "year": 1994,22   "source": "Crossref",23   "note": null24  },25  {26   "bibkey": "diebold2006forecasting",27   "entry_type": "article",28   "verified_identifier": "10.1016/j.jeconom.2005.03.005",29   "fetched_title": "Forecasting the term structure of government bond yields",30   "year": 2006,31   "source": "Crossref",32   "note": null33  },34  {35   "bibkey": "diebold2006macroeconomy",36   "entry_type": "article",37   "verified_identifier": "10.1016/j.jeconom.2005.01.011",38   "fetched_title": "The macroeconomy and the yield curve: a dynamic latent factor approach",39   "year": 2006,40   "source": "Crossref",41   "note": null42  },43  {44   "bibkey": "christensen2011affine",45   "entry_type": "article",46   "verified_identifier": "10.1016/j.jeconom.2011.02.011",47   "fetched_title": "The affine arbitrage-free class of Nelson\u2013Siegel term structure models",48   "year": 2011,49   "source": "Crossref",50   "note": null51  },52  {53   "bibkey": "diebold2013yield",54   "entry_type": "book",55   "verified_identifier": "10.23943/princeton/9780691146805.001.0001",56   "fetched_title": "Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach",57   "year": 2013,58   "source": "Crossref",59   "note": null60  },61  {62   "bibkey": "litterman1991common",63   "entry_type": "article",64   "verified_identifier": "10.3905/jfi.1991.692347",65   "fetched_title": "Common Factors Affecting Bond Returns",66   "year": 1991,67   "source": "Crossref",68   "note": null69  },70  {71   "bibkey": "gurkaynak2007treasury",72   "entry_type": "article",73   "verified_identifier": "10.1016/j.jmoneco.2007.06.029",74   "fetched_title": "The U.S. Treasury yield curve: 1961 to the present",75   "year": 2007,76   "source": "Crossref",77   "note": null78  },79  {80   "bibkey": "gurkaynak2005actions",81   "entry_type": "article",82   "verified_identifier": "https://www.ijcb.org/journal/ijcb05q2a2.htm",83   "fetched_title": "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements",84   "year": 2005,85   "source": "IJCB page (fetched) + Crossref FEDS WP",86   "note": "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)."87  },88  {89   "bibkey": "kuttner2001monetary",90   "entry_type": "article",91   "verified_identifier": "10.1016/s0304-3932(01)00055-1",92   "fetched_title": "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market",93   "year": 2001,94   "source": "Crossref",95   "note": null96  },97  {98   "bibkey": "nakamura2018high",99   "entry_type": "article",100   "verified_identifier": "10.1093/qje/qjy004",101   "fetched_title": "High-Frequency Identification of Monetary Non-Neutrality: The Information Effect",102   "year": 2018,103   "source": "Crossref",104   "note": null105  },106  {107   "bibkey": "swanson2021measuring",108   "entry_type": "article",109   "verified_identifier": "10.1016/j.jmoneco.2020.09.003",110   "fetched_title": "Measuring the effects of federal reserve forward guidance and asset purchases on financial markets",111   "year": 2021,112   "source": "Crossref",113   "note": null114  },115  {116   "bibkey": "bauer2023reassessment",117   "entry_type": "article",118   "verified_identifier": "10.1086/723574",119   "fetched_title": "A Reassessment of Monetary Policy Surprises and High-Frequency Identification",120   "year": 2023,121   "source": "Crossref",122   "note": null123  },124  {125   "bibkey": "andersen2007real",126   "entry_type": "article",127   "verified_identifier": "10.1016/j.jinteco.2007.02.004",128   "fetched_title": "Real-time price discovery in global stock, bond and foreign exchange markets",129   "year": 2007,130   "source": "Crossref",131   "note": null132  },133  {134   "bibkey": "andersen2003micro",135   "entry_type": "article",136   "verified_identifier": "10.1257/000282803321455151",137   "fetched_title": "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange",138   "year": 2003,139   "source": "Crossref",140   "note": "Crossref record misspells the first author as 'Anderson'; corrected to Andersen (as printed in AER)."141  },142  {143   "bibkey": "fleming1999price",144   "entry_type": "article",145   "verified_identifier": "10.1111/0022-1082.00172",146   "fetched_title": "Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information",147   "year": 1999,148   "source": "Crossref",149   "note": null150  },151  {152   "bibkey": "balduzzi2001economic",153   "entry_type": "article",154   "verified_identifier": "10.2307/2676223",155   "fetched_title": "Economic News and Bond Prices: Evidence from the U.S. Treasury Market",156   "year": 2001,157   "source": "Crossref",158   "note": "Crossref (JSTOR deposit) gives first page 523 only; last page 543 taken from Semantic Scholar record of the same DOI."159  },160  {161   "bibkey": "lucca2015pre",162   "entry_type": "article",163   "verified_identifier": "10.1111/jofi.12196",164   "fetched_title": "The Pre-FOMC Announcement Drift",165   "year": 2015,166   "source": "Crossref",167   "note": null168  },169  {170   "bibkey": "andersen2003modeling",171   "entry_type": "article",172   "verified_identifier": "10.1111/1468-0262.00418",173   "fetched_title": "Modeling and Forecasting Realized Volatility",174   "year": 2003,175   "source": "Crossref",176   "note": null177  },178  {179   "bibkey": "barndorffnielsen2004econometric",180   "entry_type": "article",181   "verified_identifier": "10.1111/j.1468-0262.2004.00515.x",182   "fetched_title": "Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics",183   "year": 2004,184   "source": "Crossref",185   "note": null186  },187  {188   "bibkey": "corsi2009simple",189   "entry_type": "article",190   "verified_identifier": "10.1093/jjfinec/nbp001",191   "fetched_title": "A Simple Approximate Long-Memory Model of Realized Volatility",192   "year": 2009,193   "source": "Crossref",194   "note": "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."195  },196  {197   "bibkey": "epps1979comovements",198   "entry_type": "article",199   "verified_identifier": "10.1080/01621459.1979.10482508",200   "fetched_title": "Comovements in Stock Prices in the Very Short Run",201   "year": 1979,202   "source": "Crossref",203   "note": null204  },205  {206   "bibkey": "hansen2023joint",207   "entry_type": "article",208   "verified_identifier": "10.1093/jjfinec/nbac001",209   "fetched_title": "A Joint Model for the Term Structure of Interest Rates and Realized Volatility",210   "year": 2023,211   "source": "Crossref",212   "note": "Published online 2022-02-15; print issue vol. 21 no. 4 dated 2023-08-31 per Crossref. Year set to the print year 2023."213  },214  {215   "bibkey": "andersen2010bonds",216   "entry_type": "article",217   "verified_identifier": "10.1111/j.1540-6261.2009.01546.x",218   "fetched_title": "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models",219   "year": 2010,220   "source": "Crossref",221   "note": null222  },223  {224   "bibkey": "collindufresne2002bonds",225   "entry_type": "article",226   "verified_identifier": "10.1111/1540-6261.00475",227   "fetched_title": "Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility",228   "year": 2002,229   "source": "Crossref",230   "note": null231  },232  {233   "bibkey": "huberman1987mimicking",234   "entry_type": "article",235   "verified_identifier": "10.1111/j.1540-6261.1987.tb02546.x",236   "fetched_title": "Mimicking Portfolios and Exact Arbitrage Pricing",237   "year": 1987,238   "source": "Crossref",239   "note": null240  },241  {242   "bibkey": "lamont2001economic",243   "entry_type": "article",244   "verified_identifier": "10.1016/s0304-4076(01)00074-4",245   "fetched_title": "Economic tracking portfolios",246   "year": 2001,247   "source": "Crossref",248   "note": null249  },250  {251   "bibkey": "diebold1995comparing",252   "entry_type": "article",253   "verified_identifier": "10.1080/07350015.1995.10524599",254   "fetched_title": "Comparing Predictive Accuracy",255   "year": 1995,256   "source": "Crossref",257   "note": null258  },259  {260   "bibkey": "newey1987simple",261   "entry_type": "article",262   "verified_identifier": "10.2307/1913610",263   "fetched_title": "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix",264   "year": 1987,265   "source": "Crossref",266   "note": "Crossref (JSTOR deposit) gives first page 703 only; last page 708 confirmed on the IDEAS/RePEc record (citation_lastpage=708)."267  },268  {269   "bibkey": "patton2011volatility",270   "entry_type": "article",271   "verified_identifier": "10.1016/j.jeconom.2010.03.034",272   "fetched_title": "Volatility forecast comparison using imperfect volatility proxies",273   "year": 2011,274   "source": "Crossref",275   "note": null276  },277  {278   "bibkey": "bollerslev1986generalized",279   "entry_type": "article",280   "verified_identifier": "10.1016/0304-4076(86)90063-1",281   "fetched_title": "Generalized autoregressive conditional heteroskedasticity",282   "year": 1986,283   "source": "Crossref",284   "note": null285  },286  {287   "bibkey": "cieslak2016information",288   "entry_type": "article",289   "verified_identifier": "10.1111/jofi.12388",290   "fetched_title": "Information in the Term Structure of Yield Curve Volatility",291   "year": 2016,292   "source": "Crossref",293   "note": null294  },295  {296   "bibkey": "piazzesi2005bond",297   "entry_type": "article",298   "verified_identifier": "10.1086/427466",299   "fetched_title": "Bond Yields and the Federal Reserve",300   "year": 2005,301   "source": "Crossref",302   "note": null303  },304  {305   "bibkey": "hanson2015monetary",306   "entry_type": "article",307   "verified_identifier": "10.1016/j.jfineco.2014.11.001",308   "fetched_title": "Monetary policy and long-term real rates",309   "year": 2015,310   "source": "Crossref",311   "note": null312  },313  {314   "bibkey": "fleming2003measuring",315   "entry_type": "article",316   "verified_identifier": "https://www.newyorkfed.org/research/epr/03v09n3/0309flem.html",317   "fetched_title": "Measuring Treasury Market Liquidity",318   "year": 2003,319   "source": "FRBNY EPR page (fetched) + IDEAS/RePEc record",320   "note": "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)."321  },322  {323   "bibkey": "brandt2004price",324   "entry_type": "article",325   "verified_identifier": "10.1111/j.1540-6261.2004.00711.x",326   "fetched_title": "Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve",327   "year": 2004,328   "source": "Crossref",329   "note": null330  },331  {332   "bibkey": "mizrach2008information",333   "entry_type": "article",334   "verified_identifier": "10.1016/j.jbankfin.2007.10.007",335   "fetched_title": "Information shares in the US Treasury market",336   "year": 2008,337   "source": "Crossref",338   "note": null339  },340  {341   "bibkey": "hasbrouck1995one",342   "entry_type": "article",343   "verified_identifier": "10.1111/j.1540-6261.1995.tb04054.x",344   "fetched_title": "One Security, Many Markets: Determining the Contributions to Price Discovery",345   "year": 1995,346   "source": "Crossref",347   "note": null348  },349  {350   "bibkey": "koijen2010when",351   "entry_type": "article",352   "verified_identifier": "10.1093/rfs/hhp058",353   "fetched_title": "When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?",354   "year": 2010,355   "source": "Crossref",356   "note": "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."357  },358  {359   "bibkey": "bollerslev2016exploiting",360   "entry_type": "article",361   "verified_identifier": "10.1016/j.jeconom.2015.10.007",362   "fetched_title": "Exploiting the errors: A simple approach for improved volatility forecasting",363   "year": 2016,364   "source": "Crossref",365   "note": null366  },367  {368   "bibkey": "jeleskovic2020comparing",369   "entry_type": "article",370   "verified_identifier": "10.1002/jcaf.22438",371   "fetched_title": "Comparing different methods for the estimation of interbank intraday yield curves",372   "year": 2020,373   "source": "Crossref",374   "note": "Crossref lists two authors only: Jeleskovic and Demertzidis (the brief said 'et al.')."375  },376  {377   "bibkey": "krishnamurthy2011effects",378   "entry_type": "article",379   "verified_identifier": "10.1353/eca.2011.0019",380   "fetched_title": "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy",381   "year": 2011,382   "source": "Crossref",383   "note": null384  },385  {386   "bibkey": "litterman1991volatility",387   "entry_type": "article",388   "verified_identifier": "10.3905/jfi.1991.692346",389   "fetched_title": "Volatility and the Yield Curve",390   "year": 1991,391   "source": "Crossref",392   "note": null393  },394  {395   "bibkey": "hu2013noise",396   "entry_type": "article",397   "verified_identifier": "10.1111/jofi.12083",398   "fetched_title": "Noise as Information for Illiquidity",399   "year": 2013,400   "source": "Crossref",401   "note": null402  },403  {404   "bibkey": "duffie2010presidential",405   "entry_type": "article",406   "verified_identifier": "10.1111/j.1540-6261.2010.01569.x",407   "fetched_title": "Presidential Address: Asset Price Dynamics with Slow-Moving Capital",408   "year": 2010,409   "source": "Crossref",410   "note": null411  },412  {413   "bibkey": "jiang2011information",414   "entry_type": "article",415   "verified_identifier": "10.1017/s0022109010000785",416   "fetched_title": "Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market",417   "year": 2011,418   "source": "Crossref",419   "note": "Online 2010-12-14; print vol. 46 no. 2 April 2011 per Crossref. Year set to print year 2011."420  },421  {422   "bibkey": "faust2007high",423   "entry_type": "article",424   "verified_identifier": "10.1016/j.jmoneco.2006.05.015",425   "fetched_title": "The high-frequency response of exchange rates and interest rates to macroeconomic announcements",426   "year": 2007,427   "source": "Crossref",428   "note": null429  },430  {431   "bibkey": "gurkaynak2012macroeconomics",432   "entry_type": "article",433   "verified_identifier": "10.1257/jel.50.2.331",434   "fetched_title": "Macroeconomics and the Term Structure",435   "year": 2012,436   "source": "Crossref",437   "note": null438  },439  {440   "bibkey": "cochrane2002fed",441   "entry_type": "article",442   "verified_identifier": "10.1257/000282802320189069",443   "fetched_title": "The Fed and Interest Rates\u2014A High-Frequency Identification",444   "year": 2002,445   "source": "Crossref",446   "note": null447  },448  {449   "bibkey": "burghardt2005treasury",450   "entry_type": "book",451   "verified_identifier": "https://openlibrary.org/isbn/9780071456104",452   "fetched_title": "The treasury bond basis: an in-depth analysis for hedgers, speculators, and arbitrageurs",453   "year": 2005,454   "source": "Open Library ISBN record (fetched)",455   "note": "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)."456  },457  {458   "bibkey": "pesaran1998generalized",459   "identifier": "10.1016/S0165-1765(97)00214-0",460   "fetched_title": "Generalized impulse response analysis in linear multivariate models",461   "year": 1998,462   "source": "Crossref"463  },464  {465   "bibkey": "diebold2012better",466   "identifier": "10.1016/j.ijforecast.2011.02.006",467   "fetched_title": "Better to give than to receive: Predictive directional measurement of volatility spillovers",468   "year": 2012,469   "source": "Crossref"470  }471 ]472}
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