A Mean-reverting Model of the Short-term Interbank Interest Rate: the Moroccan Case

Modeling short-run interest rate is of primary importance for all participants in financial markets. In this paper, we attempt to model short-run interbank interest rate in Morocco by the well-known Ornstein-Uhlenbeck model (OU) called also the mean-reverting model. The results show that the speed o...

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Veröffentlicht in:	Journal of Finance and Investment Analysis 2013-01, Vol.2 (3)
Hauptverfasser:	Zoglat, Abdelhak, Ezzahid, Elhadj, Bouziani, Elhaouari, Younés Mouatassim
Format:	Artikel
Sprache:	eng
Schlagworte:	Interest rates
Online-Zugang:	Volltext
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