Goodbye to the LIBOR

Mubarik, Fauzia

doi:10.4324/9781003089988-4

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2023

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“…Although LIBOR itself is going to disappear in 2021 6 – 11 , and one can apply our results only for Xmas 2020, we think that the model we introduce here might be useful for short-term analysis in other problems.…”

Section: Introductionmentioning

confidence: 89%

Repeating Christmas jump in LIBOR

Mikheev

Miheev

2023

F1000Res

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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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Section: Introductionmentioning

confidence: 89%