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Wizytówka - Wydział Matematyki i Informatyki

Most significant publications

  • Anna Pajor, Justyna Wróblewska, Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships, Eurasian Economic Review 12 (2022), 427-448
  • Anna Pajor, Justyna Wróblewska, VEC-MSF models in Bayesian analysis of short- and long-run relationships, Studies in Nonlinear Dynamics and Econometrics 21(3) (2017), 1-22
  • Anna Pajor, Estimating the Marginal Likelihood Using the Arithmetic Mean Identity, Bayesian Analysis 12(1) (2017), 261-287
  • Jacek Osiewalski, Anna Pajor, Bayesian Value-at-Risk and Expected Shortfall for a Large Portfolio (Multi- and Univariate Approaches), Acta Physica Polonica A 121 (2012), 101-109
  • Anna Pajor, A Bayesian Analysis of Exogeneity in Models with Latent Variables, Central European Journal of Economic Modelling and Econometrics 3 (2) (2011), 49-73

Recent publications

  • Anna Pajor, Łukasz Kwiatkowski, Justyna Wróblewska, Has the Covid-19 Outbreak Capsized the Predictive Performance of Bayesian VAR Models With Cointegration and Time-Varying Volatility?, Annals of Applied Statistics 19(1) (2025), 212-234
  • Anna Pajor, Jacek Osiewalski, Justyna Wróblewska, Łukasz Kwiatkowski, Bayesian ex Post Evaluation of Recursive Multi-Step-Ahead Density Prediction, Bayesian Analysis 19(3) (2024), 751-783
  • Anna Pajor, Justyna Wróblewska, Łukasz Kwiatkowski, Jacek Osiewalski, Hybrid SV-GARCH, t-GARCH and Markov-switching covariance structures in VEC models—Which is better from a predictive perspective?, International Statistical Review 92(1) (2024), 62-86
  • Anna Pajor, Justyna Wróblewska, Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships, Eurasian Economic Review 12 (2022), 427-448
  • Łukasz Kwiatkowski, Łukasz Lenart, Anna Pajor, A Locally Both Leptokurtic and Fat-Tailed Distribution with Application in a Bayesian Stochastic Volatility Model, Entropy 23(6), 689 (2021), 44

Interests

stochastic volatility processes, volatility models, Bayesian inference, financial econometrics, time series analysis, risk forecasting, portfolio analysis, Markov Chain Monte Carlo methods, econometric theory, exogeneity and non-causality

avatar for Anna Pajor

Anna Pajor

academic degree/title Doctor of Science position
research and faculty staff member group, university professor
unit
  • Department of Financial Mathematics
  • Institute of Mathematics
ORCID
0000-0001-5643-0649
contact
anna.1.pajor@uj.edu.pl
www
https://home.cyf-kr.edu.pl/~eopajor/