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Ivan Shaliastovich
Assistant Professor of Finance The Wharton School, University of Pennsylvania 2423 Steinberg Hall - Dietrich Hall 3620 Locust Walk, Philadelphia, PA 19104 Phone: (215) 746-0005 Email: ishal@wharton.upenn.edu
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Research Interests:
Asset pricing, Financial Econometrics |
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Publications:
Ravi Bansal, Dana Kiku, Ivan Shaliastovich, Amir Yaron, 2013, Volatility, the Macroeconomy, and Asset Prices, Forthcoming in Journal of Finance. Internet Appendix.
Ravi Bansal and Ivan Shaliastovich, 2013, A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets, The Review of Financial Studies, 26(1): 1—33. Lead Article. Ravi Bansal and Ivan Shaliastovich, 2011, Learning and Asset-Price Jumps, The Review of Financial Studies, 24(8): 2738—80
Ivan Shaliastovich and George Tauchen, 2011, Pricing of the Time-Change Risks, Journal of Economic Dynamics and Control, 35(6): 843—58
Ravi Bansal and Ivan Shaliastovich, 2010, Confidence Risks and Asset Prices, American Economic Review, papers and proceedings, 100(2): 537—41 Bjørn Eraker and Ivan Shaliastovich, 2008, An Equilibrium Guide to Designing Affine Pricing Models, Mathematical Finance 18(4): 519—43
Working Papers:
Darien Huang and Ivan Shaliastovich, 2012, Risk Adjustment and the Temporal Resolution of Uncertainty: Evidence from Options Markets
Bjørn Eraker, Ivan Shaliastovich and Wenyu Wang, 2012, Durable Goods, Inflation Risk and the Equilibrium Asset Prices
Ivan Shaliastovich, 2011, Learning, Confidence and Option Prices Ravi Bansal and Ivan Shaliastovich, 2009, Confidence Risk and Asset Prices
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