Simulation of Schwartz-Smith two Factor model

Version 1.0.0.0 (30,5 KB) von Moeti Ncube
Replicated results given in Schwartz-Smith paper.
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Aktualisiert 16. Dez 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

Zitieren als

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. Abgerufen .

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Erstellt mit R2009b
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SchwartzSmithModel/

Version Veröffentlicht Versionshinweise
1.0.0.0