spb/wp47_uqo

Mon, Nov 9, 2026 2

1. Revision after 3 referee reports: return panel rebuilt from individual contracts (most-traded per session), cumulated-intraday and implied-yield fidelity, short rate dropped, LP IRFs + 5-min VAR GIRF/FEVD + volatility connectedness (13/14), heatmap + cartography figures, Okabe-Ito figures, table fixes, all flagged claims corrected; v1.0-rc 45 p.

   Simon-Pierre Boucher 4 h ago · 1 file +1 −1
   90dc9d9
2. WP: full pipeline (futures 1m → daily NS factors → quarterly OOS mimicking portfolios → intraday factors, events, periodicity, covariation, HAR), robustness (GSW, CMT≥1y/2y, cash ceiling, SR3, ETF structural cross-check, spanning, noise), figures, tables, manuscript v0.9 (33 p.), docs, design review + response; inclusion rule relaxed to ≥100 min on ≥85% of days (4→5→6 contracts)

   Simon-Pierre Boucher 5 h ago · 1 file +1
   1a9aa31