Ivan Shaliastovich

University of Wisconsin - Madison

716 Langdon Street

Madison, WI 53706-1481

United States

SCHOLARLY PAPERS

14

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Top 14,289

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3,454

SSRN CITATIONS
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Top 2,886

in Total Papers Citations

94

CROSSREF CITATIONS

284

Scholarly Papers (14)

1.
Downloads 1,419 ( 13,177)
Citation 2

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, Leibniz Institute for Financial Research SAFE, University of Wisconsin - Madison and Karlsruhe Institute of Technology
Downloads 1,197 (16,802)
Citation 1

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volatility, volatility of volatility, VIX, VVIX, options

Volatility-of-Volatility Risk

SAFE Working Paper No. 210
Number of pages: 62 Posted: 29 May 2018 Last Revised: 04 Jun 2018
Christian Schlag, Ivan Shaliastovich, Julian Thimme and Darien Huang
Leibniz Institute for Financial Research SAFE, University of Wisconsin - Madison, Karlsruhe Institute of Technology and Cornell University - Department of Finance
Downloads 222 (141,392)
Citation 1

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volatility of volatility, hedging errors, risk premiums

2.
Downloads 488 ( 59,092)
Citation 1

Volatility Risk Pass-Through

Number of pages: 50 Posted: 27 Nov 2015 Last Revised: 12 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 480 (59,653)
Citation 1

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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
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, Hong Kong University of Science & Technology (HKUST) and University of Wisconsin - Madison
Downloads 5 (661,977)
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Volatility Risk Pass-Through

Number of pages: 50 Posted: 01 Oct 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 3 (678,407)

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Volatility, International Risk Sharing, Exchange Rate

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

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
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 370 (82,234)
Citation 3

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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

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 268 (117,299)
Citation 17

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Variance premium, return predictability, upside and downside risk

5.

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

Number of pages: 42 Posted: 19 Sep 2014
Darien Huang and Ivan Shaliastovich
Cornell University - Department of Finance and University of Wisconsin - Madison
Downloads 190 (164,066)
Citation 8

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asset pricing, risk-neutral probabilities, options

6.
Downloads 183 (169,765)

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 105 (265,670)

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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 78 (322,185)

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Risk premium, time change, Levy processes, recursive preferences

7.

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 124 (234,378)

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

8.
Downloads 110 (255,774)
Citation 10

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 85 (305,622)
Citation 10

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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: 03 Nov 2010
Ravi Bansal and Ivan Shaliastovich
Duke University and NBER and University of Wisconsin - Madison
Downloads 25 (523,648)

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9.
Downloads 108 (258,998)
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 79 (319,742)
Citation 13

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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 Jun 2010
Ravi Bansal and Ivan Shaliastovich
Duke University and NBER and University of Wisconsin - Madison
Downloads 29 (499,804)

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10.

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, Leibniz Institute for Financial Research SAFE, University of Wisconsin - Madison and Johns Hopkins University - Carey Business School
Downloads 94 (284,392)
Citation 1

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

11.

Volatility, the Macroeconomy and Asset Prices

NBER Working Paper No. w18104
Number of pages: 54 Posted: 25 May 2012
Ravi Bansal, Dana Kiku, Ivan Shaliastovich and Amir Yaron
Duke University and NBER, University of Illinois at Urbana-Champaign, University of Wisconsin - Madison and University of Pennsylvania -- Wharton School of Business
Downloads 57 (376,782)
Citation 6

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12.

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
Ravi Bansal and Ivan Shaliastovich
Duke University and NBER and University of Wisconsin - Madison
Downloads 26 (502,555)
Citation 18

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13.

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 15 (567,851)
Citation 24

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

14.

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 (658,071)
Citation 5
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