Simulation of Schwartz-Smith two Factor model
This code simulates the Schwartz-Smith two Factor model form the paper Short-Term Variations and Long-Term Dynamics in Commodity Prices by Eduardo Schwartz and James E. Smith.
I use the same parameter and data set time series of crude oil and obtain the same results as given in Figure 4 in their paper.
Run the file, ssmodelreplication.m
Soon I will post a novel calibration method for this procedure.
Note: Some of my code was taken originally from
James P. LeSage
www.spatial-econometrics.com
Cite As
Moeti Ncube (2024). Simulation of Schwartz-Smith two Factor model (https://www.mathworks.com/matlabcentral/fileexchange/29745-simulation-of-schwartz-smith-two-factor-model), MATLAB Central File Exchange. Retrieved .
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SchwartzSmithModel/
Version | Published | Release Notes | |
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1.0.0.0 |