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Published or Forthcoming papers:



·       Riccardo Colacito, Mariano Croce, Yang Liu, and Ivan Shaliastovich, 2021, “Volatility Risk Pass-Through,” forthcoming in the Review of Financial Studies

o  Best Paper Award, Annual Conference in International Finance, BI Norwegian Business School, 2018



·       Lin Gao, Steffen Hitzemann, Ivan Shaliastovich, and Lai Xu, 2021, “Oil Volatility Risk,” forthcoming in Journal of Financial Economics


·       Yang Liu and Ivan Shaliastovich, 2021, “Government Policy Approval and Exchange Rates,” forthcoming in Journal of Financial Economics


·       Darien Huang, Christian Schlag,  Ivan Shaliastovich, and Julian Thimme, 2019, “Volatility of Volatility Risk,” Journal of Financial and Quantitative Analysis 54(6): 2423 -- 52

o  Online Appendix


·       Mete Kilic and Ivan Shaliastovich, 2019, “Good and Bad Variance Premia and Expected Returns,” Management Science 65(6): 2522--44

o  Online Appendix

o  Variance premium data



·       Bjψrn Eraker, Ivan Shaliastovich, and Wenyu Wang, 2016, “Durable Goods, Inflation Risk, and Equilibrium Asset Prices,” The Review of Financial Studies 29(1): 193—231

o  Best Asset Pricing Paper Award, Midwest Finance Association 2012




·       Ivan Shaliastovich, 2015, “Learning, Confidence, and Option Prices,” Journal of Econometrics, 187(1): 18—42




·       Gill Segal, Ivan Shaliastovich, and Amir Yaron, 2015, “Good and Bad Uncertainty: Macroeconomic and Financial Market Implications,” Journal of Financial Economics, 117(2): 369—97

o  Outstanding Paper Award, The Jacobs Levy Equity Management Center for Quantitative Financial Research, 2014

o  Good and Bad Uncertainty. Forward Thinking Blog, Wisconsin School of Business, 2018

o  Can Uncertainty Be a Good Thing for Investors? Knowledge@Wharton, 2015




·       Ravi Bansal, Dana Kiku, Ivan Shaliastovich, and Amir Yaron, 2014, “Volatility, the Macroeconomy, and Asset Prices,” Journal of Finance, 69(6): 2471—511

o  Online Appendix




·       Ravi Bansal and Ivan Shaliastovich, 2013, “A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets,” The Review of Financial Studies, 26(1): 1 –33

o  Lead article




·       Ravi Bansal and Ivan Shaliastovich, 2011, “Learning and Asset-Price Jumps,” The Review of Financial Studies, 24(8): 2738 – 80




·       Ivan Shaliastovich and George Tauchen, 2011, “Pricing of Time-Change Risks,” Journal of Economic Dynamics and Control, 35(6): 843—58




·       Ravi Bansal and Ivan Shaliastovich, 2010, “Confidence Risks and Asset Prices,” American Economic Review, papers and proceedings, 100(2): 537—41




·       Bjψrn Eraker and Ivan Shaliastovich, 2008, “An Equilibrium Guide to Designing Affine Pricing Models,” Mathematical Finance 18, 519 -- 43






Working papers:






·       Gill Segal, Ivan Shaliastovich, 2021, “Uncertainty, Risk, and Capital Growth”




·       Tetiana Davydiuk, Scott Richard, Ivan Shaliastovich, and Amir Yaron, 2020, “How Risky is the U.S. Corporate Sector?”




·       Nicole Branger, Christian Schlag, Ivan Shaliastovich, and Dongho Song, 2017, “Macroeconomic Bond Risks at the Zero Lower Bound”




·       Ivan Shaliastovich and Ram Yamarthy, 2015,”Monetary Policy Risks in the Bond Markets and Macroeconomy”




·       Darien Huang and Ivan Shaliastovich, 2013, “Risk Adjustment and Temporal Resolution of Uncertainty: Evidence from Option Markets”

o  Best Paper on Derivatives, North Finance Association and IFSID, 2013




·       Ravi Bansal and Ivan Shaliastovich, 2009, “Confidence Risks and Asset Prices,” NBER Working Paper w14815