Cisil Sarisoy

Personal Details

First Name:	Cisil
Middle Name:
Last Name:	Sarisoy
Suffix:
RePEc Short-ID:	psa1828
	[This author has chosen not to make the email address public]
	https://sites.google.com/site/cisilsarisoy/home

Affiliation

Federal Reserve Board (Board of Governors of the Federal Reserve System)

Washington, District of Columbia (United States)
http://www.federalreserve.gov/
RePEc:edi:frbgvus (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Danilo Cascaldi-Garcia & Deepa Dhume Datta & Thiago Revil T. Ferreira & Olesya V. Grishchenko & Mohammad R. Jahan-Parvar & Juan M. Londono & Francesca Loria & Sai Ma & Marius del Giudice Rodriguez & J, 2020. "What is Certain about Uncertainty?," International Finance Discussion Papers 1294, Board of Governors of the Federal Reserve System (U.S.).
   • Danilo Cascaldi-Garcia & Cisil Sarisoy & Juan M. Londono & Bo Sun & Deepa D. Datta & Thiago Ferreira & Olesya Grishchenko & Mohammad R. Jahan-Parvar & Francesca Loria & Sai Ma & Marius Rodriguez & Ilk, 2023. "What Is Certain about Uncertainty?," Journal of Economic Literature, American Economic Association, vol. 61(2), pages 624-654, June.

   Cited by:

   1. Miescu, Mirela & Rossi, Raffaele, 2021. "COVID-19-induced shocks and uncertainty," European Economic Review, Elsevier, vol. 139(C).
      • Mirela Miescu & Raffaele Rossi, 2020. "COVID-19-Induced Shocks and Uncertainty," Economics Discussion Paper Series 2013, Economics, The University of Manchester, revised Aug 2021.
   2. Martin Hodula & Jan Janku & Simona Malovana & Ngoc Anh Ngo, 2024. "Geopolitical Risks and Their Impact on Global Macro-Financial Stability: Literature and Measurements," Working Papers 2024/8, Czech National Bank.
      • Hodula, Martin & Janků, Jan & Malovaná, Simona & Ngo, Ngoc Anh, 2024. "Geopolitical risks and their impact on global macro-financial stability: Literature and measurements," BOFIT Discussion Papers 9/2024, Bank of Finland Institute for Emerging Economies (BOFIT).
   3. Breitenlechner, Max & Georgiadis, Georgios & Schumann, Ben, 2022. "What goes around comes around: How large are spillbacks from US monetary policy?," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 45-60.
      • Breitenlechner, Max & Georgiadis, Georgios & Schumann, Ben, 2021. "What goes around comes around: How large are spillbacks from US monetary policy?," Working Paper Series 2613, European Central Bank.
      • Max Breitenlechner & Georgios Georgiadis & Ben Schumann, 2021. "What goes around comes around: How large are spillbacks from US monetary policy?," GRU Working Paper Series GRU_2021_003, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
      • Max Breitenlechner & Georgios Georgiadis & Ben Schumann, 2021. "What goes around comes around: How large are spillbacks from US monetary policy?," Working Papers 2021-05, Faculty of Economics and Statistics, Universität Innsbruck.
   4. Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana, 2020. "Uncertainty Shocks and Business Cycle Research," NBER Working Papers 26768, National Bureau of Economic Research, Inc.
      • Jesus Fernandez-Villaverde & Pablo Guerron-Quintana, 2020. "Uncertainty Shocks and Business Cycle Research," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 118-166, August.
      • Fernández-Villaverde, Jesús, 2020. "Uncertainty Shocks and Business Cycle Research," CEPR Discussion Papers 14398, C.E.P.R. Discussion Papers.
   5. Cosmas Dery & Apostolos Serletis, 2021. "Disentangling the Effects of Uncertainty, Monetary Policy and Leverage Shocks on the Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1029-1065, October.
   6. d'Artis Kancs, 2024. "Uncertainty of Supply Chains: Risk and Ambiguity," EERI Research Paper Series EERI RP 2024/03, Economics and Econometrics Research Institute (EERI), Brussels.
      • d'Artis Kancs, 2024. "Uncertainty of supply chains: Risk and ambiguity," The World Economy, Wiley Blackwell, vol. 47(5), pages 2009-2033, May.
      • d'Artis Kancs, 2024. "Uncertainty of Supply Chains: Risk and Ambiguity," Papers 2405.03451, arXiv.org.
   7. Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021. "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," NBER Working Papers 29195, National Bureau of Economic Research, Inc.
      • Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021. "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," Finance and Economics Discussion Series 2021-063, Board of Governors of the Federal Reserve System (U.S.).
   8. Michael Ryan, 2020. "An Anchor in Stormy Seas: Does Reforming Economic Institutions Reduce Uncertainty? Evidence from New Zealand," Working Papers in Economics 20/11, University of Waikato.
   9. Baxa, Jaromir & Buliskeria, Nino & Elminejad, Ali & Havranek, Tomas & Havrankova, Zuzana & Kundu, Suranjana, 2023. "A comment on Bauer, Lakdawala, Mueller: Market-Based Monetary Policy Uncertainty (2022)," I4R Discussion Paper Series 77, The Institute for Replication (I4R).
   10. David Iselin & Andreas Dibiasi, 2019. "Measuring Knightian Uncertainty," KOF Working papers 19-456, KOF Swiss Economic Institute, ETH Zurich.
       • Andreas Dibiasi, 2021. "Measuring Knightian uncertainty," Post-Print hal-03391638, HAL.
       • Andreas Dibiasi & David Iselin, 2021. "Measuring Knightian uncertainty," Empirical Economics, Springer, vol. 61(4), pages 2113-2141, October.
   11. Taniya Ghosh & Yadavindu Ajit, 2023. "Central bank transparency, the role of institutions and inflation persistence," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2023-012, Indira Gandhi Institute of Development Research, Mumbai, India.
   12. Josué Diwambuena & Jean-Paul K. Tsasa, 2021. "The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models," BEMPS - Bozen Economics & Management Paper Series BEMPS87, Faculty of Economics and Management at the Free University of Bozen.
   13. Mehmet Huseyin Bilgin & Gamze Ozturk Danisman & Ender Demir & Amine Tarazi, 2020. "Economic uncertainty and bank stability: Conventional vs. Islamic banking," Working Papers hal-02964579, HAL.
       • Bilgin, Mehmet Huseyin & Danisman, Gamze Ozturk & Demir, Ender & Tarazi, Amine, 2021. "Economic uncertainty and bank stability: Conventional vs. Islamic banking," Journal of Financial Stability, Elsevier, vol. 56(C).
   14. Ruediger Bachmann & Kai Carstensen & Stefan Lautenbacher & Martin Schneider, 2021. "Uncertainty and Change: Survey Evidence of Firms' Subjective Beliefs," NBER Working Papers 29430, National Bureau of Economic Research, Inc.
       • Ruediger Bachmann & Kai Carstensen & Stefan Lautenbacher & Martin Schneider, 2021. "Uncertainty and Change: Survey Evidence of Firms's Subjective Beliefs," CESifo Working Paper Series 9394, CESifo.
   15. Lautenbacher, Stefan, 2020. "Subjective Uncertainty, Expectations, and Firm Behavior," MPRA Paper 103516, University Library of Munich, Germany.
       • Stefan Lautenbacher, 2021. "Subjective Uncertainty, Expectations, and Firm Behavior," ifo Working Paper Series 349, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
   16. Takeshi Shinohara & Tatsushi Okuda & Jouchi Nakajima, 2020. "Characteristics of Uncertainty Indices in the Macroeconomy," Bank of Japan Working Paper Series 20-E-6, Bank of Japan.
       • Shinohara, Takeshi & Okuda, Tatsushi & Nakajima, Jouchi, 2021. "Characteristics of Uncertainty Indices in the Macroeconomy," Economic Review, Hitotsubashi University, vol. 72(3), pages 246-267, July.
   17. Oscar Claveria, 2021. "On the Aggregation of Survey-Based Economic Uncertainty Indicators Between Different Agents and Across Variables," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 1-26, April.
   18. Brianti, Marco, 2021. "Financial Shocks, Uncertainty Shocks, and Monetary Policy Trade-Offs," Working Papers 2021-5, University of Alberta, Department of Economics.
   19. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
   20. Jiang, Fuwei & Liu, Hongkui & Yu, Jiasheng & Zhang, Huajing, 2023. "International stock return predictability: The role of U.S. uncertainty spillover," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
   21. Juan M. Londono & Sai Ma & Beth Anne Wilson, 2021. "The Global Transmission of Real Economic Uncertainty," International Finance Discussion Papers 1317, Board of Governors of the Federal Reserve System (U.S.).
   22. Jahanbani, Zeinab & Ataee-pour, Majid & Mortazavi, Ali, 2024. "Application of Z-numbers theory to study the influencing criteria in underground mining method selection," Resources Policy, Elsevier, vol. 88(C).
   23. Dario Caldara & Chiara Scotti & Molin Zhong, 2021. "Macroeconomic and Financial Risks: A Tale of Mean and Volatility," International Finance Discussion Papers 1326, Board of Governors of the Federal Reserve System (U.S.).

2. Sarisoy, Cisil & de Goeij, Peter & Werker, Bas J. M., 2016. "Linear Factor Models and the Estimation of Expected Returns," Other publications TiSEM c6a9300c-88d8-44b5-afa5-9, Tilburg University, School of Economics and Management.

   Cited by:

   1. Jonathan Fletcher, 2018. "An Examination of the Benefits of Factor Investing in U.K. Stock Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(4), pages 154-170, April.
   2. Fletcher, Jonathan, 2018. "Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 114-129.

Articles

1. Renault, Eric & Sarisoy, Cisil & Werker, Bas J.M., 2017. "Efficient Estimation Of Integrated Volatility And Related Processes," Econometric Theory, Cambridge University Press, vol. 33(2), pages 439-478, April.

   Cited by:

   1. Altmeyer, Randolf & Bibinger, Markus, 2014. "Functional stable limit theorems for efficient spectral covolatility estimators," SFB 649 Discussion Papers 2014-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
   2. Clinet, Simon & Potiron, Yoann, 2019. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
      • Simon Clinet & Yoann Potiron, 2017. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Papers 1709.02502, arXiv.org, revised Feb 2019.
   3. Hsu, Ching-Chi & Chau, Ka Yin & Chien, FengSheng, 2023. "Natural resource volatility and financial development during Covid-19: Implications for economic recovery," Resources Policy, Elsevier, vol. 81(C).
   4. Li, Jia & Todorov, Viktor & Tauchen, George, 2017. "Adaptive estimation of continuous-time regression models using high-frequency data," Journal of Econometrics, Elsevier, vol. 200(1), pages 36-47.
   5. Bollerslev, Tim & Li, Jia & Li, Qiyuan, 2024. "Optimal nonparametric range-based volatility estimation," Journal of Econometrics, Elsevier, vol. 238(1).
   6. Simon Clinet & Yoann Potiron, 2017. "Estimation for high-frequency data under parametric market microstructure noise," Papers 1712.01479, arXiv.org, revised Sep 2020.
      • Simon Clinet & Yoann Potiron, 2021. "Estimation for high-frequency data under parametric market microstructure noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 649-669, August.
   7. Zhang, Junpeng & Pang, Deliang & Yang, Leijing & Ouyang, Wenjun, 2023. "Risk and synergy of multinational enterprise mergers and acquisitions under the background of the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 718-729.
   8. Jia Li & Dacheng Xiu, 2016. "Generalized Method of Integrated Moments for High‐Frequency Data," Econometrica, Econometric Society, vol. 84, pages 1613-1633, July.
      • Jia Li & Dacheng Xiu, 2016. "Generalized Method of Integrated Moments for High‐Frequency Data," Econometrica, Econometric Society, vol. 84(4), pages 1613-1633, July.
   9. Wenjuan, Zhu & Zhong, Kaiyang & He, Mingqiang & Pham, Thanh Huong & Nguyen, Quang Khai & Huy, Pham Quang, 2023. "Volatility challenges for natural resources during COVID-19 and its impact on economic development for sustainable economic repossession," Resources Policy, Elsevier, vol. 86(PB).
   10. Xinwei Feng & Lidan He & Zhi Liu, 2022. "Large Deviation Principles of Realized Laplace Transform of Volatility," Journal of Theoretical Probability, Springer, vol. 35(1), pages 186-208, March.
   11. Camponovo, Lorenzo & Matsushita, Yukitoshi & Otsu, Taisuke, 2019. "Empirical likelihood for high frequency data," LSE Research Online Documents on Economics 100320, London School of Economics and Political Science, LSE Library.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-MAC: Macroeconomics (1) 2020-08-24. Author is listed
2. NEP-RMG: Risk Management (1) 2020-08-24. Author is listed

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