Ivan Shaliastovich

University of Wisconsin - Madison

716 Langdon Street

Madison, WI 53706-1481

United States

SCHOLARLY PAPERS

17

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Top 14,472

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4,420

SSRN CITATIONS
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SSRN RANKINGS

Top 2,479

in Total Papers Citations

244

CROSSREF CITATIONS

290

Scholarly Papers (17)

1.
Downloads 1,701 ( 13,019)
Citation 7

Volatility-of-Volatility Risk

Number of pages: 65 Posted: 19 Sep 2014 Last Revised: 19 Feb 2018
Darien Huang, Christian Schlag, Ivan Shaliastovich and Julian Thimme
Cornell University - Department of Finance, Goethe University Frankfurt, University of Wisconsin - Madison and Karlsruhe Institute of Technology
Downloads 1,393 (17,447)
Citation 3

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volatility, volatility of volatility, VIX, VVIX, options

Volatility-of-Volatility Risk

SAFE Working Paper No. 210, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 62 Posted: 29 May 2018 Last Revised: 02 Sep 2020
Christian Schlag, Ivan Shaliastovich, Julian Thimme and Darien Huang
Goethe University Frankfurt, University of Wisconsin - Madison, Karlsruhe Institute of Technology and Cornell University - Department of Finance
Downloads 308 (125,872)
Citation 4

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volatility of volatility, hedging errors, risk premiums

2.
Downloads 603 ( 57,470)
Citation 2

Volatility Risk Pass-Through

Number of pages: 66 Posted: 27 Nov 2015 Last Revised: 18 Oct 2021
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
Downloads 582 (59,378)
Citation 2

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Volatility pass-through, foreign exchange disconnect, risk sharing

Volatility Risk Pass-Through

Number of pages: 51 Posted: 19 Nov 2018
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
Downloads 21 (664,025)

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Volatility Risk Pass-Through

Number of pages: 53 Posted: 19 Nov 2018
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
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foreign exchange disconnect, Risk Sharing, Volatility pass-through

Volatility Risk Pass-Through

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Posted: 01 Oct 2018 Last Revised: 29 Apr 2021
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison

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Volatility, International Risk Sharing, Exchange Rate

3.

Durable Goods, Inflation Risk, and Equilibrium Asset Prices

Review of Financial Studies (2016) 29(1): 193-231, AFA 2013 San Diego Meetings Paper, Kelley School of Business Research Paper No. 2015-01, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 62 Posted: 17 Mar 2011 Last Revised: 11 Jan 2016
Bjorn Eraker, Ivan Shaliastovich and Wenyu Wang
University of Wisconsin - Madison - Department of Finance, Investment and Banking, University of Wisconsin - Madison and Indiana University - Kelley School of Business - Department of Finance
Downloads 427 (87,774)
Citation 7

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durable consumption, inflation risk, long-run risks, equilibrium yield curve, equilibrium equity return

4.

Good and Bad Variance Premia and Expected Returns

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 52 Posted: 25 Aug 2017
Mete Kilic and Ivan Shaliastovich
University of Southern California - Marshall School of Business and University of Wisconsin - Madison
Downloads 326 (119,155)
Citation 36

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Variance premium, return predictability, upside and downside risk

5.

Government Policy Approval and Exchange Rates

Number of pages: 56 Posted: 27 Dec 2017
Yang Liu and Ivan Shaliastovich
The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
Downloads 236 (165,903)
Citation 1

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Government Policy Approval, Policy Uncertainty, Exchange Rate, Currency Risk

6.

Risk Adjustment and the Temporal Resolution of Uncertainty: Evidence from Options Markets

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 42 Posted: 19 Sep 2014
Darien Huang and Ivan Shaliastovich
Cornell University - Department of Finance and University of Wisconsin - Madison
Downloads 219 (178,234)
Citation 10

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asset pricing, risk-neutral probabilities, options

7.
Downloads 190 (203,085)

Pricing of the Time-Change Risks

Economic Research Initiatives at Duke (ERID) Working Paper No. 4
Number of pages: 41 Posted: 01 Aug 2008 Last Revised: 13 Dec 2011
Ivan Shaliastovich and George Tauchen
University of Wisconsin - Madison and Duke University - Economics Group
Downloads 108 (319,245)

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Risk premium, time change, Levy processes, recursive preferences

Pricing of the Time-Change Risks

Economic Research Initiatives at Duke (ERID) Working Paper No. 71
Number of pages: 32 Posted: 09 Oct 2010
George Tauchen and Ivan Shaliastovich
Duke University - Economics Group and University of Wisconsin - Madison
Downloads 82 (381,686)

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Risk premium, time change, Levy processes, recursive preferences

8.

How Risky are the U.S. Corporate Assets?

Number of pages: 83 Posted: 14 Apr 2020
Carnegie Mellon University - David A. Tepper School of Business, University of Pennsylvania - The Wharton School, University of Wisconsin - Madison and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 131 (276,216)

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corporate assets, total payouts, net issuances, asset risk premium, cyclicality

9.
Downloads 113 (307,569)
Citation 11

Learning and Asset-Price Jumps

Number of pages: 55 Posted: 13 Mar 2009 Last Revised: 13 Dec 2011
Ravi Bansal and Ivan Shaliastovich
Duke University and NBER and University of Wisconsin - Madison
Downloads 83 (378,889)
Citation 12

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Recursive utility, learning, asset price jumps

Learning and Asset-Price Jumps

Number of pages: 47 Posted: 27 Mar 2009 Last Revised: 02 Jul 2021
Ravi Bansal and Ivan Shaliastovich
Duke University and NBER and University of Wisconsin - Madison
Downloads 30 (599,221)

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10.
Downloads 113 (307,569)
Citation 15

Confidence Risk and Asset Prices

Number of pages: 49 Posted: 13 Mar 2009
Ravi Bansal and Ivan Shaliastovich
Duke University and NBER and University of Wisconsin - Madison
Downloads 86 (370,736)
Citation 11

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Learning, confidence risk, asset price dynamics

Confidence Risk and Asset Prices

Number of pages: 49 Posted: 29 Mar 2009 Last Revised: 26 Jun 2021
Ravi Bansal and Ivan Shaliastovich
Duke University and NBER and University of Wisconsin - Madison
Downloads 27 (619,315)

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11.

Macroeconomic Bond Risks at the Zero Lower Bound

Number of pages: 47 Posted: 12 Aug 2016
Nicole Branger, Christian Schlag, Ivan Shaliastovich and Dongho Song
University of Muenster - Finance Center Muenster, Goethe University Frankfurt, University of Wisconsin - Madison and Johns Hopkins University - Carey Business School
Downloads 112 (309,490)
Citation 2

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Macro-Finance Term Structure Models, Zero Lower Bound, Shadow Rates, Shadow Risk Premia

12.

Volatility, the Macroeconomy and Asset Prices

Number of pages: 54 Posted: 25 May 2012 Last Revised: 02 Jul 2021
Ravi Bansal, Dana Kiku, Ivan Shaliastovich, Amir Yaron and Amir Yaron
Duke University and NBER, University of Illinois at Urbana-Champaign, University of Wisconsin - Madison and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 66 (426,483)
Citation 17

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13.

Good and Bad Uncertainty: Macroeconomic and Financial Market Implications

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper , Journal of Financial Economics (JFE), Vol. 117, No. 2, 2015, Kenan Institute of Private Enterprise Research Paper No. 20-08
Number of pages: 69 Posted: 01 Dec 2015
Gill Segal, Ivan Shaliastovich, Amir Yaron and Amir Yaron
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of Wisconsin - Madison and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 60 (450,969)
Citation 21

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14.

Volatility, the Macroeconomy and Asset Prices

Journal of Finance, Vol. 69, No. 6, 2014, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 67 Posted: 01 Dec 2014
Amir Yaron, Amir Yaron, Dana Kiku, Ivan Shaliastovich and Ravi Bansal
Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business, University of Illinois at Urbana-Champaign, University of Wisconsin - Madison and Duke University
Downloads 59 (450,969)
Citation 35

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15.

A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets

Number of pages: 44 Posted: 08 Sep 2012 Last Revised: 02 Jul 2021
Ravi Bansal and Ivan Shaliastovich
Duke University and NBER and University of Wisconsin - Madison
Downloads 44 (511,988)
Citation 55

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16.

Learning, Confidence, and Option Prices

Number of pages: 78 Posted: 24 Oct 2010 Last Revised: 28 Jan 2015
Ivan Shaliastovich
University of Wisconsin - Madison
Downloads 18 (664,743)
Citation 29

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option prices, jumps, recursive utility, long-run risks, confidence, learning

17.

An Equilibrium Guide to Designing Affine Pricing Models

Mathematical Finance, Vol. 18, Issue 4, pp. 519-543, October 2008
Number of pages: 25 Posted: 19 Sep 2008
Bjorn Eraker and Ivan Shaliastovich
University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin - Madison
Downloads 2 (790,521)
Citation 13
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