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Ivan Shaliastovich
Researcher at University of Wisconsin-Madison
Publications - 38
Citations - 2055
Ivan Shaliastovich is an academic researcher from University of Wisconsin-Madison. The author has contributed to research in topics: Risk premium & Volatility (finance). The author has an hindex of 15, co-authored 38 publications receiving 1777 citations. Previous affiliations of Ivan Shaliastovich include Duke University & University of Pennsylvania.
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A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets
Ravi Bansal,Ivan Shaliastovich +1 more
TL;DR: In this article, the authors develop and estimate a long-run risks model with time-varying volatilities of expected growth and inflation, which simultaneously accounts for bond return predictability and violations of uncovered interest parity in currency markets.
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Good and bad uncertainty: Macroeconomic and financial market implications ☆
TL;DR: The authors decompose aggregate uncertainty of macroeconomic data into "good" and "bad" uncertainty components, which correspond respectively to the volatility associated with positive and negative innovations to macroeconomic growth rates.
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A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets
Ravi Bansal,Ivan Shaliastovich +1 more
TL;DR: In this article, the authors developed and estimated a long-run risk model with time-varying volatilities of expected growth and inflation, which simultaneously accounts for bond return predictability and violations of uncovered interest parity in currency markets.
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Volatility, the Macroeconomy, and Asset Prices
TL;DR: In this article, the authors show that volatility news affects the stochastic discount factor and carries a separate risk premium and that volatility risks are persistent and are strongly correlated with discount-rate news.
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An equilibrium guide to designing affine pricing models
Bjørn Eraker,Ivan Shaliastovich +1 more
TL;DR: In this paper, the authors examined equilibrium models based on Epstein-Zin preferences in a framework in which exogenous state variables follow affine jump diffusion processes, and showed that large shocks (jumps) in consumption volatility translate into negative jumps in equilibrium prices of the assets as agents demand a higher premium to compensate for higher risks.