Cisil Sarisoy

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

3

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463

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (3)

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1.

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 267 (126,659)
Citation 3

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

2.

What is Certain About Uncertainty?

FRB International Finance Discussion Paper No. 1294
Number of pages: 73 Posted: 07 Aug 2020
Danilo Cascaldi-Garcia, Cisil Sarisoy, Juan M. Londono, 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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Downloads 102 (287,763)

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3.

Linear Factor Models and the Estimation of Expected Returns

Netspar Discussion Paper No. 03/2016-020
Number of pages: 52 Posted: 20 Apr 2016 Last Revised: 01 Nov 2017
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 94 (303,439)
Citation 1

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Factor Pricing, Risk Premium, Small Betas, Omitted Factors