SchwartzSmith.jl

Implementation of the Schwartz Smith model
Author LAMPSPUC
Popularity
6 Stars
Updated Last
2 Years Ago
Started In
November 2019
Build Status Coverage
Build Status Codecov branch

SchwartzSmith.jl

SchwartzSmith.jl is a package for estimating the Schwartz Smith model.
The implementation and notation was based on the original article by Eduardo Schwartz and James E. Smith (2000), called "Short-Term Variations and Long-Term Dynamics in Commodity Prices" (https://pdfs.semanticscholar.org/c298/e5c8c477e3da8941173e6cb593f05230006c.pdf)

To use the package you can do

pkg> add https://github.com/LAMPSPUC/SchwartzSmith.jl.git

Features

  • Parameter estimation
    • Original and average time to maturity
    • Random or predefined seed
  • Simulation
  • Forecasting