Simulation of Schwartz-Smith two Factor model

Versione 1.0.0.0 (30,5 KB) da Moeti Ncube
Replicated results given in Schwartz-Smith paper.
5.0
(2)
1,6K download
Aggiornato 16 dic 2010

Visualizza la licenza

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

Cita come

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. Recuperato .

Compatibilità della release di MATLAB
Creato con R2009b
Compatibile con qualsiasi release
Compatibilità della piattaforma
Windows macOS Linux
Categorie
Scopri di più su Geometric Transformation and Image Registration in Help Center e MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

SchwartzSmithModel/

Versione Pubblicato Note della release
1.0.0.0