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

Biography

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.

Research

Selected Accepted Journal Articles

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

Huang, D. & Shaliastovich, I. & Schlag, C. & Thimme, J. Volatility of Volatility Risk Journal of Financial and Quantitative Analysis

Selected Published Journal Articles

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

Working Papers

Liu, Y. & Shaliastovich, I. (2018). Government Policy Approval and Exchange Rates

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. (2015). Risk Adjustment and Temporal Resolution of Uncertainty: Evidence from Option Markets

Shaliastovich, I. & Bansal, R. (2009). Confidence Risks and Asset Prices

Service

Editorial and Reviewing Activities

Quantitative Economics - Since July 2017
Associate Editor

Journal of Banking and Finance - Since March 2017
Associate Editor