Simulation of Schwartz-Smith two Factor model

Replicated results given in Schwartz-Smith paper.

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