  Motivated by the recent observation of antiferromagnetic correlations in the
paramagnetic phase of iron pnictides, we study the finite-temperature spin
dynamics of a two-dimensional $J_1-J_2$ antiferromagnet. We consider the
paramagnetic phase in the $J_2>J_1$ regime of a $(\pi,0)$ collinear ground
state, using the modified spin wave theory. Below the mean-field Ising
transition temperature, we identify short-range anisotropic antiferromagnetic
correlations. We show that the dynamical structure factor
$\mathcal{S}(\mathbf{q},\omega)$ contains elliptic features in the momentum
space, and determine its variation with temperature and energy. Implications
for the spin-dynamical experiments in the iron pnictides are discussed.
