Christmas Jump in LIBOR
Statistical Finance
2019-08-28 v1
Abstract
A short-term pattern in LIBOR dynamics was discovered. Namely, 2-month LIBOR experiences a jump after Xmas. The sign and size of the jump depend on the data trend on 21 days before Xmas.
Cite
@article{arxiv.1908.10014,
title = {Christmas Jump in LIBOR},
author = {Vikenty Mikheev and Serge E. Miheev},
journal= {arXiv preprint arXiv:1908.10014},
year = {2019}
}
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