Najważniejsze publikacje
- 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
Najnowsze publikacje
- 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
Zainteresowania
procesy wariancji stochastycznej, modele zmienności, wnioskowanie bayesowskie, ekonometria finansowa, analiza szeregów czasowych, szacowanie i prognoza ryzyka, analiza portfelowa, metody Monte Carlo, teoria ekonometrii, zagadnienia egzogeniczności i przyczynowości
Anna Pajor
stopień/tytuł doktor habilitowany stanowiskobadawczo-dydaktyczne, profesor uczelni
jednostka
- Zakład Matematyki Finansowej
- Instytut Matematyki
anna.1.pajor@uj.edu.pl
www