Working Papers

Vahap, S. (2024), Bayesian dynamic graphical models for high-dimensional vector autoregressions with time-varying parameters and volatility discounting, Submitted to the Special Issue on Bayesian Methods of the Journal of Econometrics and Statistics. 

Vahap, S. (2023), Bayesian pairwise composite likelihood methods for large vector autoregressive models with time-varying parameters and stochastic volatility, Working Paper.

Vahap, S. (2022), Bayesian vector autoregressive model with time-varying parameters and stochastic volatility in identification of financial shocks, Working Paper.

Work in progress 

Vahap, S. (2024), Comparing forecasting performance of Bayesian pairwise and triplewise composite likelihood methods, Work in Progress.

Vahap, S. (2024), Forward stepwise selection in a high-dimensional vector autoregressive model with time-varying parameters and volatility, Work in Progress.

Econometrics of higher education

Vahap, S. (2022), How to teach programming to students in introductory class of Bayesian econometrics?, Work in Progress.