Research
Working papers
- Mohammad Ghaderi, Sang Byung Seo, and Ivan Shaliastovich, 2025, “Learning and Subjective Beliefs about Good and Bad Inflation Ranges”
- Tetiana Davydiuk, Tatyana Marchuk, and Ivan Shaliastovich, 2024, “Corporate Bond Issuance by Financial Institutions and Economic Cycle”
- Johannes Poeschl, Ivan Shaliastovich, and Ram Yamarthy, 2024, “Sovereign Credit Risk, U.S. Monetary Policy, and the Role of Financial Intermediaries”
- Vito Gala, Giovanni Pagliardi, Ivan Shaliastovich, and Stavros Zenios, 2024, “Political Risk Everywhere”
Published & forthcoming
- Yang Liu and Ivan Shaliastovich, 2026, “Political Announcement Return,” Forthcoming in Journal of Finance.
- Gill Segal and Ivan Shaliastovich, 2025, “Uncertainty, Risk, and Capital Growth,” The Review of Financial Studies, hhaf088.
- Riccardo Colacito, Mariano Croce, Yang Liu, and Ivan Shaliastovich, 2025, “Volatility (Dis)Connect in International Markets,” Management Science, 72(6): 4697–4714.
- 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
- Riccardo Colacito, Mariano Croce, Yang Liu, and Ivan Shaliastovich, 2022, “Volatility Risk Pass-Through,” The Review of Financial Studies, 35(5): 2345--85
- Online Appendix
- Best Paper Award, Annual Conference in International Finance, BI Norwegian Business School, 2018
- Lin Gao, Steffen Hitzemann, Ivan Shaliastovich, and Lai Xu, 2022, “Oil Volatility Risk,” Journal of Financial Economics, 144: 456--91
- Yang Liu and Ivan Shaliastovich, 2022, “Government Policy Approval and Exchange Rates,” Journal of Financial Economics 143: 303--31
- Darien Huang, Christian Schlag, Ivan Shaliastovich, and Julian Thimme, 2019, “Volatility of Volatility Risk,” Journal of Financial and Quantitative Analysis 54(6): 2423 -- 52
- Mete Kilic and Ivan Shaliastovich, 2019, “Good and Bad Variance Premia and Expected Returns,” Management Science 65(6): 2522--44
- Bjørn Eraker, Ivan Shaliastovich, and Wenyu Wang, 2016, “Durable Goods, Inflation Risk, and Equilibrium Asset Prices,” The Review of Financial Studies 29(1): 193—231
- 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
- Outstanding Paper Award, The Jacobs Levy Equity Management Center for Quantitative Financial Research, 2014
- Good and Bad Uncertainty. Forward Thinking Blog, Wisconsin School of Business, 2018
- 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
- 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
- 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
- Bjørn Eraker and Ivan Shaliastovich, 2008, “An Equilibrium Guide to Designing Affine Pricing Models,” Mathematical Finance 18, 519 -- 43
Archived working papers
- 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”
- 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