... the market volatility structure as well as the analytical tractability of the original CIR model. Design/methodology/approach The novelty of the proposed methodology consists in using the CIR model to forecast the evolution of interest rates by an appropriate partitioning of the data sample...

... are used to illustrate how the proposed model works. Coup with the low interest rate scenario by first choosing an optimal time segment obtained by a multiple change-point detection method, and then using the data from the chosen time segment to estimate the CIR model parameters, and finally obtaining...