Ivan Shaliastovich

University of Wisconsin - Madison

716 Langdon Street

Madison, WI 53706-1481

United States

SCHOLARLY PAPERS

20

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Top 12,624

in Total Papers Downloads

6,763

SSRN CITATIONS
Rank 2,386

SSRN RANKINGS

Top 2,386

in Total Papers Citations

447

CROSSREF CITATIONS

243

Scholarly Papers (20)

1.
Downloads 2,215 (12,011)
Citation 19

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 1,805 (16,292)
Citation 5

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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 410 (123,150)
Citation 14

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volatility of volatility, hedging errors, risk premiums

2.
Downloads 795 (54,522)
Citation 5

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 712 (62,277)
Citation 3

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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 83 (512,207)

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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
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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 519 (94,034)
Citation 15

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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 414 (122,991)
Citation 56

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Variance premium, return predictability, upside and downside risk

5.

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 335 (155,485)
Citation 2

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

6.

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 332 (156,977)
Citation 7

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

7.

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 323 (161,752)

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8.

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 252 (208,625)
Citation 11

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asset pricing, risk-neutral probabilities, options

9.
Downloads 230 (228,089)
Citation 2

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 122 (392,278)

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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 108 (429,347)

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Risk premium, time change, Levy processes, recursive preferences

Volatility (Dis)Connect in International Markets

Number of pages: 58 Posted: 28 Jan 2022 Last Revised: 04 Jun 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 228 (229,198)

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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
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foreign exchange disconnect, Risk Sharing, volatility risk

11.
Downloads 216 (241,929)
Citation 1

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 132 (369,140)
Citation 1

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

Uncertainty, Risk, and Capital Growth

SAFE Working Paper No. 388
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 84 (508,489)

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

12.
Downloads 158 (318,839)
Citation 17

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 99 (456,997)
Citation 5

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Learning, confidence risk, asset price dynamics

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 59 (620,649)

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13.
Downloads 147 (338,499)
Citation 17

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 109 (426,441)
Citation 12

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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 38 (753,899)

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14.

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 144 (344,062)
Citation 2

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

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 118 (402,770)
Citation 69

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16.

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 94 (469,403)
Citation 56

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17.

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 87 (492,691)
Citation 22

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18.

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 66 (576,733)
Citation 113

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19.

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 47 (675,953)
Citation 29

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

20.

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

Number of pages: 75 Posted: 11 Oct 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 43

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