Cisil Sarisoy

Board of Governors of the Federal Reserve System

Senior Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

7

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2,239

TOTAL CITATIONS
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Top 17,854

in Total Papers Citations

51

Scholarly Papers (7)

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1.

What is Certain About Uncertainty?

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Citation 47

What is Certain About Uncertainty?

Journal of Economic Literature, Forthcoming
Number of pages: 45 Posted: 02 Aug 2021
Danilo Cascaldi-Garcia, Cisil Sarisoy, Juan M. Londono, John H. Rogers, Bo Sun, Deepa Datta, Thiago R.T. Ferreira, Olesya V. Grishchenko, Mohammad R. Jahan-Parvar, Francesca Loria, Sai Ma, Marius Rodriguez and Ilknur Zer
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Citation 17

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global risk, uncertainty, volatility, crises, economic policy, monetary policy, downside risk, transmission.

What is Certain About Uncertainty?

International Finance Discussion Paper No. 1294
Number of pages: 45 Posted: 07 Aug 2020 Last Revised: 08 Mar 2022
Danilo Cascaldi-Garcia, Cisil Sarisoy, Juan M. Londono, Bo Sun, John H. Rogers, Deepa Datta, Thiago R.T. Ferreira, Olesya V. Grishchenko, Mohammad R. Jahan-Parvar, Francesca Loria, Sai Ma, Marius Rodriguez and Ilknur Zer
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Citation 30

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global risks, Uncertainty, Volatility, Crises, Economic policy, Monetary policy, Geopolitical risk, Trade policy, Downside risk

2.

Linear Factor Models and the Estimation of Expected Returns

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Citation 1

Linear Factor Models and the Estimation of Expected Returns

Netspar Discussion Paper No. 03/2016-020
Number of pages: 53 Posted: 20 Apr 2016 Last Revised: 06 Feb 2024
Cisil Sarisoy, Peter de Goeij and Bas J. M. Werker
Board of Governors of the Federal Reserve System, Tilburg University and Tilburg University - Center for Economic Research (CentER)
Downloads 316 (204,698)
Citation 1

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Cross Section of Expected Returns, Risk Premium, Small Betas.

Linear Factor Models and the Estimation of Expected Returns

FEDS Working Paper No. 2024-14
Number of pages: 54 Posted: 17 Apr 2024
Cisil Sarisoy, Peter de Goeij and Bas J. M. Werker
Board of Governors of the Federal Reserve System, Tilburg University and Tilburg University - Center for Economic Research (CentER)
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Cross section of expected returns, Risk premium, Small β’s

3.

Efficient Estimation of Integrated Volatility and Related Processes

Number of pages: 38 Posted: 14 Jul 2013 Last Revised: 21 Jan 2015
Eric Renault, Cisil Sarisoy and Bas J. M. Werker
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Board of Governors of the Federal Reserve System and Tilburg University - Center for Economic Research (CentER)
Downloads 315 (207,118)
Citation 3

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High-frequency data, Integrated power variance, Local Asymptotic Normality, Nonparametric efficiency bounds, Realized volatility, Volatility estimation

4.

Variance Dynamics in Term Structure Models

Number of pages: 55 Posted: 04 Jun 2018
Cisil Sarisoy
Board of Governors of the Federal Reserve System
Downloads 18 (1,177,835)

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JEL classification: C52, C58, E43, G12, G13 Affine Term Structure Models, Interest rates, Stochastic volatility

5.

Drivers of Option-Implied Interest Rate Volatility

FEDS Notes No. 2024-10-24
Posted: 18 Dec 2024
Cisil Sarisoy
Board of Governors of the Federal Reserve System

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6.

Estimating Retail Credit in the U.S

FEDS Notes No. 2024-06-21
Posted: 28 Jun 2024
Jessica N. Flagg, Simona Hannon, Cisil Sarisoy and Mark Wicks
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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7.

Elevated Option-Implied Interest Rate Volatility and Downside Risks to Economic Activity

FEDS Notes No. 2023-12-22
Posted: 16 Jan 2024
Cisil Sarisoy
Board of Governors of the Federal Reserve System

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