We evaluate, through Monte Carlo experiments, the econometric performance of seven alternative estimators (direct and indirect methods) of the basic parameters of the Cox-Ingersoll-Ross single-factor diffusion model of the term structure of interest rates. Different generating schemes are compared and the unobservability of the state-variable is taken into account. The effects of approximating interest rates, increased frequency of data and starting values are analyzed. A Monte Carlo evaluation of the effects on bond prices of biased parameter estimates is provided.
This research has been presented in different phases in some seminars and conferences (Erice, Ascona, Firenze, Pisa, Milano, Berlin).
