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

 

CV

 

Research Interests:

 

Asset pricing,  Financial Econometrics

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:

 

Gill Segal, Ivan Shaliastovich, Amir Yaron, 2013, Good and Bad Uncertainty: Macroeconomic and Financial Market Implications

 

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