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 (2022), 22
- 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, 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 (2023), 1-15
- Anna Pajor, Jacek Osiewalski, Justyna Wróblewska, Łukasz Kwiatkowski, Bayesian ex Post Evaluation of Recursive Multi-Step-Ahead Density Prediction, Bayesian Analysis Advance Publication (2023), 1-33
- Anna Pajor, Justyna Wróblewska, Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships, Eurasian Economic Review (2022), 22
- Łukasz Kwiatkowski, Łukasz Lenart, Anna Pajor, A Locally Both Leptokurtic and Fat-Tailed Distribution with Application in a Bayesian Stochastic Volatility Model, Entropy 23:689 (2021), 44
- Anna Pajor, New Estimators of the Bayes Factor for Models with High-Dimensional Parameter and/or Latent Variable Spaces, Entropy 23(4) (2021), Article number: 399, 20 pages
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
Anna Pajor
academic degree/title Doctor of Science positionresearch and faculty staff member group, university professor
unit
- Department of Financial Mathematics
- Institute of Mathematics
anna.1.pajor@uj.edu.pl
www