This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. (1992). The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is demonstrated that the maximum likelihood estimator of the...

This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. (1992). The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is demonstrated that the maximum likelihood estimator of the...

We propose a spline-based semiparametric maximum likelihood approach to analysing the Cox model with interval-censored data. With this approach, the baseline cumulative hazard function is approximated by a monotone B-spline function. We extend the generalized Rosen algorithm to compute the...