ESTIMATION IN THE COX-INGERSOLL-ROSS MODEL

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