Wisconsin School of Business

Ivan Shaliastovich

Associate Professor - Finance
Thomas D. and Barbara C. Stevens Distinguished Chair in Finance

Ivan Shaliastovich is the Thomas D. and Barbara C. Stevens Distinguished Chair in Finance and an Associate Professor in the Department of Finance at the Wisconsin School of Business. Ivan’s area of expertise is in asset pricing and financial econometrics. Professor Shaliastovich’s research falls into three main areas: volatility risks, the term structure of interest rates, and investor learning in securities markets. His work in these three areas is tied together by a focus on macroeconomic uncertainty, and how it impacts the economy and financial markets. His work has been published in the Review of Financial Studies, Journal of Finance, Journal of Financial Economics, Mathematical Finance, Journal of Economic Dynamics and Control, and the Journal of Econometrics.

Ivan teaches undergraduate, graduate and Ph.D. students in Finance, with a focus on fixed income courses.

He received his Ph.D. and M.A. in Economics from Duke University, and his B.A. in Economics and Mathematics from the American University in Bulgaria.
 

Selected Accepted Journal Articles


Kilic, M. & Shaliastovich, I. Good and Bad Variance Premia and Expected Returns. Management Science

Selected Published Journal Articles


Eraker, B. & Shaliastovich, I. & Wang, W. (2016). Durable Goods, Inflation Risk, and Equilibrium Asset Prices. Review of Financial Studies (29), 193-231.
Segal, G. & Shaliastovich, I. & Yaron, A. (2015). Good and Bad Uncertainty: Macroeconomic and Financial Market Implications. Journal of Financial Economics (117), 369-97.
Shaliastovich, I. (2015). Learning, Confidence, and Option Prices. Journal of Econometrics (187), 18-42.
Bansal, R. & Kiku, D. & Shaliastovich, I. & Yaron, A. (2014). Volatility, the Macroeconomy, and Asset Prices. Journal of Finance (69), 2471-2511.
Bansal, R. & Shaliastovich, I. (2013). A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets. Review of Financial Studies (26), 1-33.
Shaliastovich, I. & Tauchen, G. (2011). Pricing of Time-Change Risks. Journal of Economic Dynamics and Control (35), 843-58.
Bansal, R. & Shaliastovich, I. (2011). Learning and Asset Prices Jumps. Review of Financial Studies (24), 2738-80.
Bansal, R. & Shaliastovich, I. (2010). Confidence Risks and Asset Prices. American Economic Review (100), 537-41.
Eraker, B. & Shaliastovich, I. (2008). An Equilibrium Guide to Designing Affine Pricing Models. Mathematical Finance (18), 519-43.

Working Papers


Gao, L. & Hitzemann, S. & Shaliastovich, I. & Xu, L. (2016). Oil Volatility Risk.
Davydiuk, T. & Richard, S. & Shaliastovich, I. & Yaron, A. (2016). The Unlevered Economy, Aggregate Payouts, and Asset Prices.
Colacito, R. & Croce, M. & Liu, Y. & Shaliastovich, I. (2016). Volatility Risk Pass-Through.
Branger, N. & Schlag, C. & Shaliastovich, I. & Song, D. (2015). Macroeconomic Bond Risks at the Zero Lower Bound.
Shaliastovich, I. & Yamarthy, R. (2015). Monetary Policy Risks in the Bond Markets and Macroeconomy.
Huang, D. & Shaliastovich, I. (2014). Volatility of Volatility Risk.
Bansal, R. & Shaliastovich, I. (2009). Confidence Risks and Asset Prices.

Editorial and Reviewing Activities


Quantitative Economics - Since July 2017
Associate Editor

Journal of Banking and Finance - Since March 2017
Associate Editor


Photograph of Ivan Shaliastovich

Ivan Shaliastovich

 
Associate Professor | Finance
Thomas D. and Barbara C. Stevens Distinguished Chair in Finance
(608) 890-2595
5274C Grainger Hall