Details about Anna Pajor

Access statistics for papers by Anna Pajor.

Last updated 2024-09-07. Update your information in the RePEc Author Service.

Short-id: ppa1025

Working Papers

2011

1. The Shape of Aggregate Production Functions: Evidence from Estimates of the World Technology Frontier
   EcoMod2011, EcoMod View citations (3)
   Also in NBP Working Papers, Narodowy Bank Polski (2011) View citations (3)
   See also Journal Article The shape of aggregate production functions: evidence from estimates of the World Technology Frontier, Bank i Kredyt, Narodowy Bank Polski (2015) View citations (4) (2015)

2006

2. Bayesian Analysis of the Conditional Correlation Between Stock Index Returns with Multivariate SV Models
   Papers, arXiv.org View citations (4)

Journal Articles

2024

1. Hybrid SV‐GARCH, t‐GARCH and Markov‐switching covariance structures in VEC models—Which is better from a predictive perspective?
   International Statistical Review, 2024, 92, (1), 62-86

2022

2. Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships
   Eurasian Economic Review, 2022, 12, (3), 427-448

2019

3. One-period joint forecasts of Polish inflation, unemployment and interest rate using Bayesian VEC-MSF models
   Central European Journal of Economic Modelling and Econometrics, 2019, 11, (1), 23-45 View citations (3)

2017

4. VEC-MSF models in Bayesian analysis of short- and long-run relationships
   Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (3), 22 View citations (3)

2015

5. The shape of aggregate production functions: evidence from estimates of the World Technology Frontier
   Bank i Kredyt, 2015, 46, (4), 299-326 View citations (4)
   See also Working Paper The Shape of Aggregate Production Functions: Evidence from Estimates of the World Technology Frontier, EcoMod2011 (2011) View citations (3) (2011)

2013

6. A Note on Lenk’s Correction of the Harmonic Mean Estimator
   Central European Journal of Economic Modelling and Econometrics, 2013, 5, (4), 271-275 View citations (4)

2011

7. A Bayesian Analysis of Exogeneity in Models with Latent Variables
   Central European Journal of Economic Modelling and Econometrics, 2011, 3, (2), 49-73 View citations (8)
8. Bayesian Optimal Portfolio Selection in the MSF-SBEKK Model
   Dynamic Econometric Models, 2011, 11, 41-54

2010

9. Bayesian Value-at-Risk for a Portfolio: Multi- and Univariate Approaches Using MSF-SBEKK Models
   Central European Journal of Economic Modelling and Econometrics, 2010, 2, (4), 253-277 View citations (7)

2009

10. A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes
    Central European Journal of Economic Modelling and Econometrics, 2009, 1, (1), 71-81
11. Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility
    Central European Journal of Economic Modelling and Econometrics, 2009, 1, (2), 179-202 View citations (22)
12. Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models
    Dynamic Econometric Models, 2009, 9, 81-90

2008

13. Bayesian Forecasting of the Discounted Payoff of Options on WIG20 Index under Stochastic Volatility and Stochastic Interest Rates
    Dynamic Econometric Models, 2008, 8, 147-154

2006

14. Bayesian Analysis of Main Bivariate GARCH and SV Models for PLN/USD and PLN/DEM (1966-2001)
    Dynamic Econometric Models, 2006, 7, 25-36 View citations (1)
15. Modelling the Conditional Covariance Matrix in Stochastic Volatility Models with Applications to the Main Exchange Rates in Poland
    Dynamic Econometric Models, 2006, 7, 169-178

Chapters

2009

1. Bayesian Analysis of Options on WIG20 Index under Stochastic Volatility and Stochastic Interest Rates
   Chapter 9 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 127-142

2007

2. Bayesian Analysis and Forecasting of the Conditional Correlations Between Stock Index Returns with Multivariate SV Models
   Chapter 7 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2007, vol. 3, pp 101-121
3. Flexibility and Parsimony in Multivariate Financial Modelling: a Hybrid Bivariate DCC-SV Model
   Chapter 1 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2007, vol. 3, pp 11-26

2006

4. Bayes Factors for Bivariate GARCH and SV Models
   Chapter 1 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2006, vol. 2, pp 15-35 View citations (1)
5. VECM-TSV Models for Two Polish Official Exchange Rates
   Chapter 3 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2006, vol. 2, pp 49-66

2005

6. Bayesian Analysis of Stochastic Volatility Model and Portfolio Allocation
   Chapter 14 in Acta Universitatis Lodziensis. Folia Oeconomica nr 192/2005 - Issues in Modeling, Forecasting and Decision-Making in Financial Markets, 2005, vol. 192, pp 229-249 View citations (3)