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Simulation of Schwartz-Smith two Factor model 1.0

  Date Added: March 31, 2013  |  Visits: 260

Simulation of Schwartz-Smith two Factor model

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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.mSoon I will post a novel calibration method for this procedure.Note: Some of my code was taken originally fromJames P. LeSagewww.spatial-econometrics.com

Requirements: No special requirements
Platforms: Matlab
Keyword: Crude Figure Lesage Obtain Results Ssmodelreplicationm
Users rating: 0/10

License: Shareware Size: 30.72 KB
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