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
Gao, L. & Hitzemann, S. & Shaliastovich, I. & Xu, L. (2021). Oil Volatility Risk Journal of Financial Economics
Colacito, R. & Croce, M. & Liu, Y. & Shaliastovich, I. (2021). Volatility Risk Pass-Through Review of Financial Studies
Liu, Y. & Shaliastovich, I. (2021). Government Policy Approval and Exchange Rates Journal of Financial Economics
Selected Published Journal Articles
Huang, D. & Schlag, C. & Shaliastovich, I. & Thimme, J. (2019). Volatility of Volatility Risk Journal of Financial and Quantitative Analysis
Kilic, M. & Shaliastovich, I. (2019). Good and Bad Variance Premia and Expected Returns Management Science
Eraker, B. & Shaliastovich, I. & Wang, W. (2016). Durable Goods, Inflation Risk, and Equilibrium Asset Prices Review of Financial Studies
Segal, G. & Shaliastovich, I. & Yaron, A. (2015). Good and Bad Uncertainty: Macroeconomic and Financial Market Implications Journal of Financial Economics
Shaliastovich, I. (2015). Learning, Confidence, and Option Prices Journal of Econometrics
Bansal, R. & Kiku, D. & Shaliastovich, I. & Yaron, A. (2014). Volatility, the Macroeconomy, and Asset Prices Journal of Finance
Bansal, R. & Shaliastovich, I. (2013). A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets Review of Financial Studies
Shaliastovich, I. & Tauchen, G. (2011). Pricing of Time-Change Risks Journal of Economic Dynamics and Control
Bansal, R. & Shaliastovich, I. (2011). Learning and Asset Prices Jumps Review of Financial Studies
Bansal, R. & Shaliastovich, I. (2010). Confidence Risks and Asset Prices American Economic Review
Eraker, B. & Shaliastovich, I. (2008). An Equilibrium Guide to Designing Affine Pricing Models Mathematical Finance
Shaliastovich, I. & Segal, G. (2021). Uncertainty, Risk, and Capital Growth
Davydiuk, T. & Richard, S. & Shaliastovich, I. & Yaron, A. (2016). How Risky is the US Corporate Sector?
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. (2015). Risk Adjustment and Temporal Resolution of Uncertainty: Evidence from Option Markets
Bansal, R. & Shaliastovich, I. (2009). Confidence Risks and Asset Prices
Editorial and Reviewing Activities
Quantitative Economics – Since July 2017
Journal of Banking and Finance – Since March 2017