Fuhrer, Lucas Marc; Guggenheim, Basil; Jüttner, … - In: Swiss Journal of Economics and Statistics 155 (2019) 8, pp. 1-18
This paper sheds light on Swiss franc LIBOR futures, which are often used to derive interest rate expectations. We show … that the differences between LIBOR futures and realized rates (excess returns) are, on average, positive over the last 25 …
