I am trying to replicate the model in this paper and to make sure it works I would like to apply it to the same data as in the original paper
There are two datasets used, one is the weekly prices of 5 NYMEX crude oil futures contracts from 1/2/1990 to 2/17/1995. The paper says that these were made public by Knight-Ridder Financial, a company that has ceased to exist since.
The other one is a set of crude oil prices by Enron Capitial, a company that has also ceased to exist since.
I doubt I could obtain the second dataset but I was wondering if anyone had any suggestions on where I could find the first dataset by Knight-Ridder Financial. I have tried accessing their website through internet archive but I wasn’t able to find anything on there, nor was I able to locate the original publication.
Bloomberg is not an option for me right now either.
Full reference: Schwartz, E. and Smith, J.E., 2000. Short-term variations and long-term dynamics in commodity prices. Management Science, 46(7), pp.893-911.
submitted by /u/horux123
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