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Christmas Jump in LIBOR

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  • Vikenty Mikheev
  • Serge E. Miheev

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.

Suggested Citation

  • Vikenty Mikheev & Serge E. Miheev, 2019. "Christmas Jump in LIBOR," Papers 1908.10014, arXiv.org.
    • Handle: RePEc:arx:papers:1908.10014
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    References listed on IDEAS

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    1. Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
    2. N. Moreni & A. Pallavicini, 2014. "Parsimonious HJM modelling for multiple yield curve dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 199-210, February.
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