Ivan Shaliastovich

University of Wisconsin-Madison

716 Langdon Street

Madison, WI 53706-1481

United States

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 10,774

SSRN RANKINGS

Top 10,774

in Total Papers Downloads

9,374

TOTAL CITATIONS
Rank 2,209

SSRN RANKINGS

Top 2,209

in Total Papers Citations

482

Scholarly Papers (23)

1.
Downloads 2,492 (12,400)
Citation 27

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 2,043 (16,804)
Citation 7

Abstract:

Loading...

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 449 (138,958)
Citation 20

Abstract:

Loading...

volatility of volatility, hedging errors, risk premiums

2.
Downloads 956 (53,012)
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 834 (63,005)
Citation 2

Abstract:

Loading...

Volatility pass-through, foreign exchange disconnect, risk sharing

Volatility Risk Pass-Through

NBER Working Paper No. w25276
Number of pages: 51 Posted: 19 Nov 2018 Last Revised: 26 Jul 2023
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 120 (507,889)

Abstract:

Loading...

Volatility Risk Pass-Through

CEPR Discussion Paper No. DP13325
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
Downloads 2 (1,388,948)
  • Add to Cart

Abstract:

Loading...

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

Abstract:

Loading...

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 568 (105,151)
Citation 21

Abstract:

Loading...

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

4.

Political risk everywhere

Number of pages: 77 Posted: 17 Jan 2024
Morningstar Investment Management LLC, BI Norwegian Business School, University of Wisconsin-Madison and Durham University Business School
Downloads 557 (107,710)
Citation 1

Abstract:

Loading...

Political risk, international equities, bonds, FX, asset pricing.

5.

Political Announcement Return

Number of pages: 50 Posted: 28 Jan 2022 Last Revised: 28 Aug 2023
Yang Liu and Ivan Shaliastovich
The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin-Madison
Downloads 521 (117,394)

Abstract:

Loading...

6.

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 506 (121,327)
Citation 69

Abstract:

Loading...

Variance premium, return predictability, upside and downside risk

7.

How Risky are the U.S. Corporate Assets?

Number of pages: 83 Posted: 14 Apr 2020
Johns Hopkins University - Carey Business School, University of Pennsylvania - The Wharton School, University of Wisconsin-Madison and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 466 (134,438)
Citation 5

Abstract:

Loading...

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

8.

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 420 (151,483)
Citation 8

Abstract:

Loading...

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

Volatility (Dis)Connect in International Markets

Number of pages: 52 Posted: 28 Jan 2022 Last Revised: 30 Apr 2025
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 359 (178,984)

Abstract:

Loading...

Volatility risk, foreign exchange disconnect, risk sharing

Volatility (Dis)Connect in International Markets

CEPR Discussion Paper No. DP17101
Number of pages: 43 Posted: 29 Mar 2022
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 0
  • Add to Cart

Abstract:

Loading...

foreign exchange disconnect, Risk Sharing, volatility risk

10.
Downloads 329 (198,582)
Citation 2

Uncertainty, Risk, and Capital Growth

SAFE Working Paper No. 388, Kenan Institute of Private Enterprise Research Paper No. 4465821
Number of pages: 73 Posted: 01 Jun 2023
Gill Segal and Ivan Shaliastovich
University of North Carolina (UNC) at Chapel Hill - Finance Area and University of Wisconsin-Madison
Downloads 188 (346,365)
Citation 1

Abstract:

Loading...

Uncertainty, Production, Asset Pricing, Utilization, Depreciation, Equity Premium

Uncertainty, Risk, and Capital Growth

Number of pages: 63 Posted: 28 Jan 2022 Last Revised: 13 Jul 2022
Gill Segal and Ivan Shaliastovich
University of North Carolina (UNC) at Chapel Hill - Finance Area and University of Wisconsin-Madison
Downloads 141 (445,384)
Citation 1

Abstract:

Loading...

Uncertainty, Utilization, Depreciation, RBC, Recession, Equity Premium, Risk

11.

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 277 (238,450)
Citation 11

Abstract:

Loading...

asset pricing, risk-neutral probabilities, options

12.
Downloads 267 (247,540)

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 137 (456,010)

Abstract:

Loading...

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 130 (476,373)

Abstract:

Loading...

Risk premium, time change, Levy processes, recursive preferences

13.
Downloads 244 (271,008)
Citation 5

Confidence Risk and Asset Prices

NBER Working Paper No. w14815
Number of pages: 49 Posted: 29 Mar 2009 Last Revised: 26 Jun 2022
Ravi Bansal and Ivan Shaliastovich
Duke University and NBER and University of Wisconsin-Madison
Downloads 133 (467,544)

Abstract:

Loading...

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 111 (539,603)
Citation 5

Abstract:

Loading...

Learning, confidence risk, asset price dynamics

14.

Corporate Bond Issuance by Financial Institutions

Number of pages: 71 Posted: 30 Apr 2024 Last Revised: 01 Dec 2024
Tetiana Davydiuk, Tatyana Marchuk and Ivan Shaliastovich
Johns Hopkins University - Carey Business School, Nova School of Business & Economics and University of Wisconsin-Madison
Downloads 223 (295,875)

Abstract:

Loading...

financial sector, predictability, corporate bonds, net issuance, banking regulation

15.

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 209 (314,745)
Citation 69

Abstract:

Loading...

16.
Downloads 207 (317,613)
Citation 12

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 163 (393,988)
Citation 12

Abstract:

Loading...

Recursive utility, learning, asset price jumps

Learning and Asset-Price Jumps

NBER Working Paper No. w14814
Number of pages: 47 Posted: 27 Mar 2009 Last Revised: 25 Dec 2022
Ravi Bansal and Ivan Shaliastovich
Duke University and NBER and University of Wisconsin-Madison
Downloads 44 (920,588)

Abstract:

Loading...

17.

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 Münster - Finance Center Muenster, Goethe University Frankfurt, University of Wisconsin-Madison and Johns Hopkins University - Carey Business School
Downloads 172 (376,146)
Citation 2

Abstract:

Loading...

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

18.

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 130 (474,684)
Citation 78

Abstract:

Loading...

19.

Learning and Subjective Beliefs About Good and Bad Inflation Ranges

Number of pages: 57 Posted: 25 Nov 2024 Last Revised: 30 Apr 2025
Mohammad Ghaderi, Sang Byung Seo and Ivan Shaliastovich
University of Kansas - School of Business, University of Wisconsin-Madison and University of Wisconsin-Madison
Downloads 127 (483,569)

Abstract:

Loading...

20.

Volatility, the Macroeconomy and Asset Prices

NBER Working Paper No. w18104
Number of pages: 54 Posted: 25 May 2012 Last Revised: 21 Jun 2023
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 100 (578,417)
Citation 28

Abstract:

Loading...

21.

Sovereign Credit Risk, U.S. Monetary Policy, and the Role of Financial Intermediaries

Number of pages: 75 Posted: 11 Oct 2023 Last Revised: 04 Dec 2023
Johannes Poeschl, Ivan Shaliastovich and Ram Yamarthy
National Bank of Denmark - Research Department, University of Wisconsin-Madison and Board of Governors of the Federal Reserve System
Downloads 94 (602,237)

Abstract:

Loading...

Sovereign Credit Risk, Monetary Policy, Financial Intermediaries, CDS, Heterogeneity

22.

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

NBER Working Paper No. w18357
Number of pages: 44 Posted: 08 Sep 2012 Last Revised: 27 Feb 2023
Ravi Bansal and Ivan Shaliastovich
Duke University and NBER and University of Wisconsin-Madison
Downloads 83 (650,103)
Citation 113

Abstract:

Loading...

23.

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 67 (733,140)
Citation 29

Abstract:

Loading...

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