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Working papers: |
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· Tetiana Davydiuk, Tatyana Marchuk, and Ivan Shaliastovich, 2023, Corporate Bond Issuance by Financial Institutions and Economic Cycle
· Johannes Poeschl, Ivan Shaliastovich, and Ram Yamarthy, 2023, Sovereign Credit Risk, U.S. Monetary Policy, and the Role of Financial Intermediaries
· Vito Gala, Giovanni Pagliardi, Ivan Shaliastovich, and Stavros Zenios, 2023, Political Risk Everywhere
· Yang Liu and Ivan Shaliastovich, 2023, Political Announcement Return |
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· Riccardo Colacito, Mariano Croce, Yang Liu, and Ivan Shaliastovich, 2023, Volatility (Dis)Connect in International Markets
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· Gill Segal, Ivan Shaliastovich, 2023, Uncertainty, Risk, and Capital Growth
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· Nicole Branger, Christian Schlag, Ivan Shaliastovich, and Dongho Song, 2017, Macroeconomic Bond Risks at the Zero Lower Bound
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· Ivan Shaliastovich and Ram Yamarthy, 2015,Monetary Policy Risks in the Bond Markets and Macroeconomy
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· 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
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· Ravi Bansal and Ivan Shaliastovich, 2009, Confidence Risks and Asset Prices, NBER Working Paper w14815 |
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Published or Forthcoming papers: |
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· Tetiana Davydiuk, Scott Richard, Ivan Shaliastovich, and Amir Yaron, 2023, How Risky is the U.S. Corporate Sector? Journal of Finance, 78(1): 141--208 o Data
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· Riccardo Colacito, Mariano Croce, Yang Liu, and Ivan Shaliastovich, 2022, Volatility Risk Pass-Through, The Review of Financial Studies, 35(5): 2345--85 o Best Paper Award, Annual Conference in International Finance, BI Norwegian Business School, 2018
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· Lin Gao, Steffen Hitzemann, Ivan Shaliastovich, and Lai Xu, 2022, Oil Volatility Risk, Journal of Financial Economics, 144: 456--91
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· Yang Liu and Ivan Shaliastovich, 2022, Government Policy Approval and Exchange Rates, Journal of Financial Economics 143: 303--31
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· Darien Huang, Christian Schlag, Ivan Shaliastovich, and Julian Thimme, 2019, Volatility of Volatility Risk, Journal of Financial and Quantitative Analysis 54(6): 2423 -- 52
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· Mete Kilic and Ivan Shaliastovich, 2019, Good and Bad Variance Premia and Expected Returns, Management Science 65(6): 2522--44
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· Bjψrn Eraker, Ivan Shaliastovich, and Wenyu Wang, 2016, Durable Goods, Inflation Risk, and Equilibrium Asset Prices, The Review of Financial Studies 29(1): 193231 o Best Asset Pricing Paper Award, Midwest Finance Association 2012
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· Ivan Shaliastovich, 2015, Learning, Confidence, and Option Prices, Journal of Econometrics, 187(1): 1842
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· Gill Segal, Ivan Shaliastovich, and Amir Yaron, 2015, Good and Bad Uncertainty: Macroeconomic and Financial Market Implications, Journal of Financial Economics, 117(2): 36997 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
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· Ravi Bansal, Dana Kiku, Ivan Shaliastovich, and Amir Yaron, 2014, Volatility, the Macroeconomy, and Asset Prices, Journal of Finance, 69(6): 2471511
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· 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
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· Ravi Bansal and Ivan Shaliastovich, 2011, Learning and Asset-Price Jumps, The Review of Financial Studies, 24(8): 2738 80
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· Ivan Shaliastovich and George Tauchen, 2011, Pricing of Time-Change Risks, Journal of Economic Dynamics and Control, 35(6): 84358
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· Ravi Bansal and Ivan Shaliastovich, 2010, Confidence Risks and Asset Prices, American Economic Review, papers and proceedings, 100(2): 53741
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· Bjψrn Eraker and Ivan Shaliastovich, 2008, An Equilibrium Guide to Designing Affine Pricing Models, Mathematical Finance 18, 519 -- 43 |
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