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Estimation in the Cox-Ingersoll-Ross Model

Published online by Cambridge University Press:  11 February 2009

Ludger Overbeck and
Tobias Rydén
Ludger Overbeck
Affiliation:
University of California
Tobias Rydén
Affiliation:
University of California
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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.

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Articles
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Econometric Theory , Volume 13 , Issue 3 , June 1997, pp. 430 - 461
Copyright
Copyright © Cambridge University Press 1997

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