Repeating Christmas jump in LIBOR

Background: London Interbank Offered Rate (LIBOR) exists since 1986 as a benchmark interest rate. Methods: Using two-layer linear regression method, we found a pattern of shortterm nature in LIBOR behaviour. Results: To wit, 2-month LIBOR experiences a jump after Xmas for the last two decades. The d...

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Detalles Bibliográficos
Autores principales: Mikheev, Vikenty, Miheev, Serge E.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: F1000 Research Limited 2023
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10403742/
https://www.ncbi.nlm.nih.gov/pubmed/37547625
http://dx.doi.org/10.12688/f1000research.26024.2
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author Mikheev, Vikenty
Miheev, Serge E.
author_facet Mikheev, Vikenty
Miheev, Serge E.
author_sort Mikheev, Vikenty
collection PubMed
description Background: London Interbank Offered Rate (LIBOR) exists since 1986 as a benchmark interest rate. Methods: Using two-layer linear regression method, we found a pattern of shortterm nature in LIBOR behaviour. Results: To wit, 2-month LIBOR experiences a jump after Xmas for the last two decades. The direction and size of the jump depend on the data trend on 21 days before Xmas. Conclusions: The obtained results can be used to build a winning strategy on the Swap Market.
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spelling pubmed-104037422023-08-06 Repeating Christmas jump in LIBOR Mikheev, Vikenty Miheev, Serge E. F1000Res Research Article Background: London Interbank Offered Rate (LIBOR) exists since 1986 as a benchmark interest rate. Methods: Using two-layer linear regression method, we found a pattern of shortterm nature in LIBOR behaviour. Results: To wit, 2-month LIBOR experiences a jump after Xmas for the last two decades. The direction and size of the jump depend on the data trend on 21 days before Xmas. Conclusions: The obtained results can be used to build a winning strategy on the Swap Market. F1000 Research Limited 2023-07-27 /pmc/articles/PMC10403742/ /pubmed/37547625 http://dx.doi.org/10.12688/f1000research.26024.2 Text en Copyright: © 2023 Mikheev V and Miheev SE https://creativecommons.org/licenses/by/4.0/This is an open access article distributed under the terms of the Creative Commons Attribution Licence, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
spellingShingle Research Article
Mikheev, Vikenty
Miheev, Serge E.
Repeating Christmas jump in LIBOR
title Repeating Christmas jump in LIBOR
title_full Repeating Christmas jump in LIBOR
title_fullStr Repeating Christmas jump in LIBOR
title_full_unstemmed Repeating Christmas jump in LIBOR
title_short Repeating Christmas jump in LIBOR
title_sort repeating christmas jump in libor
topic Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10403742/
https://www.ncbi.nlm.nih.gov/pubmed/37547625
http://dx.doi.org/10.12688/f1000research.26024.2
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