  We propose a change detection method for the famous Cox--Ingersoll--Ross
model. This model is widely used in financial mathematics and therefore
detecting a change in its parameters is of crucial importance. We develop one-
and two-sided testing procedures for both drift parameters of the process. The
test process is based on estimators that are motivated by the discrete time
least-squares estimators, and its asymptotic distribution under the no-change
hypothesis is that of a Brownian bridge. We prove the asymptotic weak
consistence of the test, and derive the asymptotic properties of the
change-point estimator under the alternative hypothesis of change at one point
in time.
