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Published or Forthcoming papers:

 

 

·       Darien Huang, Christian Schlag,  Ivan Shaliastovich, and Julian Thimme, 2018, “Volatility of Volatility Risk,” forthcoming in Journal of Financial and Quantitative Analysis

o  Online Appendix

 

·       Mete Kilic and Ivan Shaliastovich, 2018, “Good and Bad Variance Premia and Expected Returns,” forthcoming in Management Science

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:

 

 

 

 

 

·       Yang Liu and Ivan Shaliastovich, 2018, “Government Policy Approval and Exchange Rates”

 

 

·       Tetiana Davydiuk, Scott Richard, Ivan Shaliastovich, and Amir Yaron, 2018, “How Risky is the U.S. Corporate Sector?”

 

 

·       Riccardo Colacito, Mariano Croce, Yang Liu, and Ivan Shaliastovich, 2018, “Volatility Risk Pass-Through”

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

 

 

 

·       Lin Gao, Steffen Hitzemann, Ivan Shaliastovich, and Lai Xu, 2018, “Oil Volatility Risk”

 

 

·       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