Author Page for Ivan Shaliastovich

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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Citation 3

Abstract:

Volatility Risk Pass-Through

NBER Working Paper No. w25276

Number of pages: 51 Posted: 19 Nov 2018 Last Revised: 26 Jul 2023

Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich

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)

Abstract:

Volatility Risk Pass-Through

CEPR Discussion Paper No. DP13325

Number of pages: 53 Posted: 19 Nov 2018

Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich

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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Abstract:

Volatility Risk Pass-Through

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Posted: 01 Oct 2018 Last Revised: 29 Apr 2021

Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich

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:

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

Abstract:

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

Abstract:

5.

How Risky are the U.S. Corporate Assets?

Number of pages: 83 Posted: 14 Apr 2020

Tetiana Davydiuk, Scott F. Richard, Ivan Shaliastovich, Amir Yaron and Amir Yaron

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

Abstract:

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

Abstract:

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)

Abstract:

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

Abstract:

9.

Pricing of the Time-Change Risks

Downloads 230 (228,089)

Citation 2

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)

Abstract:

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)

Abstract:

10.

Volatility (Dis)Connect in International Markets

Downloads 228 (229,944)

2

Volatility (Dis)Connect in International Markets

Number of pages: 58 Posted: 28 Jan 2022 Last Revised: 04 Jun 2023

Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich

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)

Abstract:

Volatility (Dis)Connect in International Markets

CEPR Discussion Paper No. DP17101

Number of pages: 43 Posted: 29 Mar 2022

Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich

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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Abstract:

11.

Uncertainty, Risk, and Capital Growth

Downloads 216 (241,929)

Citation 1

2

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

Abstract:

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)

Abstract:

12.

Confidence Risk and Asset Prices

Downloads 158 (318,839)

Citation 17

2

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

Abstract:

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)

Abstract:

13.

Learning and Asset-Price Jumps

Downloads 147 (338,499)

Citation 17

2

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

Abstract:

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)

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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

Ivan Shaliastovich

University of Wisconsin - Madison

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Scholarly Papers (20)

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Volatility Risk Pass-Through

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Volatility (Dis)Connect in International Markets

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