Alexander Tsyplakov

Evaluating Density Forecasts: A Comment

This is a comment on Mitchell and Wallis (2011) which in turn is a critical reaction to Gneiting et al. (2007). The comment discusses the notion of forecast calibration, the advantage of using scoring rules, the “sharpness” principle and a general approach to testing calibration. The aim is to show how a more general and explicitly stated framework can provide further insights into the theory and practice of of probabilistic forecasting.

Evaluation of Probabilistic Forecasts: Proper Scoring Rules and Moments

The paper provides an overview of probabilistic forecasting and discusses a theoretical framework for evaluation of probabilistic forecasts which is based on proper scoring rules and moments. An artificial example of predicting second-order autoregression and an example of predicting the RTSI stock index are used as illustrations.

Revealing the arcane: an introduction to the art of stochastic volatility models

This essay tries to provide a straightforward and sufficiently accessible demonstration of some known procedures for stochastic volatility model. It reviews important concepts and gives informal derivations of related methods. The essay is meant to be useful as a cookbook for a novice. The exposition is confined to classical (non-Bayesian) framework.

The Links between Inflation and Inflation Uncertainty at the Longer Horizon

In this paper I examine the Okun–Friedman hypothesis of the link between inflation and inflation uncertainty using historical international data on the monthly CPI. An indicator of inflation uncertainty at the two-years-ahead horizon is derived from a time-series model of inflation with time-varying parameters by means of Monte Carlo simulations. This indicator is compared to other uncertainty measures, with the short forecast horizon and based on simpler GARCH-type models. The analysis convincingly demonstrates that both the longer horizon and changing parameters are important for the regularity. The evidence obtained strongly supports the Okun–Friedman hypothesis both in the time dimension for most countries and across countries.