Anna Cieslak / Welcome to my homepage
Northwestern University,
Kellogg School of Management
Department of Finance, Jacobs Center,
2001 Sheridan Road
Evanston, IL 60208,
USA
Papers
Nominal term spread, real rate and consumption growth, with Pavol Povala (paper)
This version: February 2014
Expecting the Fed, with Pavol Povala (paper)
This version: July 2013; 100 Years of the Fed Conference (SF Fed), CEPR'13, EFA'13
This version: August 2013; SoFiE'11, WFA'11, NBER AP'11
Information in the term structure of yield curve volatility, with Pavol Povala (paper) (appendix)
This version: September 2013;
Correlation risk and the term structure of interest rates, with Andrea Buraschi and Fabio Trojani (paper)
This version: October 2008;
Work in progress
Real-time term structure models with Liuren Wu
Conference discussions
Unbiased estimation
of dynamic term structure models by M. Bauer, G. Rudebusch, C. Wu, EFA, Copenhagen, Aug 2012
Notes on
bonds: Liquidity at all costs in the Great Recession by D. Musto, G. Nini and K. Schwarz, WFA, Las Vegas,
Jun 2012
Sovereign credit risk and real economic shocks by P. Augustin and R. Tedongap, AFA, Chicago, Jan 2012
Transition density approximations for multivariate affine jump diffusion processes by Damir Filipovic, Eberhard Mayerhofer and Paul Schneider, EFA, Frankfurt, Aug 2010 (slides)
Variance risk premia, asset predictability puzzles, and
macroeconomic uncertainty by Hao Zhou, Amsterdam Asset Pricing Retreat, Jun 2010 (slides)
Do interest rate options contain information about
excess returns? by Caio Almeida, Jeremy Graveline and Scott Joslin, New Directions in Term Structure Modeling, SAFE, Verona, Jun 2010 (slides)
Monetary policy and the uncovered
interest rate parity puzzle by David Backus, Federico Gavazzoni, Chris Telmer and Stanley Zin, TADC, London Business School, May 2010 (slides)
Links
Early Career Women in Finance Conference [co-organized with Maria Cecilia Bustamante, sponsored by the Kellogg Zell Center for Risk Research of NU]
Kellogg Junior Finance Conference [co-organized with Dimitris Papanikolaou and Viktor Todorov, sponsored by the Kellogg Zell Center]