Christmas Jump in LIBOR

Vikenty Mikheev and Serge E. Miheev

Papers from arXiv.org

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.

Date: 2019-08
New Economics Papers: this item is included in nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1908.10014

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