Estimation in the Cox-Ingersoll-Ross Model

Abstract

The Cox-Ingersoll-Ross model is a diffusion process suitable for modeling the term structure of interest rates. In this paper, we consider estimation of the parameters of this process from observations at equidistant time points. We study two estimators based on conditional least squares as well as a one-step improvement of these, two weighted conditional least-squares estimators, and the maximum likelihood estimator. Asymptotic properties of the various estimators are discussed, and we also compare their performance in a simulation study.