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Simulation of Schwartz-Smith two Factor model

version 1.0.0.0 (30.5 KB) by Moeti Ncube
Replicated results given in Schwartz-Smith paper.

1.5K Downloads

Updated 16 Dec 2010

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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 (2021). 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 .

MATLAB Release Compatibility
Created with R2009b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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