Joshua Rosenberg : Citation Profile


Are you Joshua Rosenberg?

Federal Reserve Bank of New York

10

H index

11

i10 index

651

Citations

RESEARCH PRODUCTION:

4

Articles

23

Papers

RESEARCH ACTIVITY:

   52 years (1966 - 2018). See details.
   Cites by year: 12
   Journals where Joshua Rosenberg has often published
   Relations with other researchers
   Recent citing documents: 95.    Total self citations: 12 (1.81 %)

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   Permalink: http://citec.repec.org/pro389
   Updated: 2020-02-08    RAS profile: 2015-01-16    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Joshua Rosenberg.

Is cited by:

Bollerslev, Tim (16)

van den Goorbergh, Rob (12)

Patton, Andrew (12)

Christoffersen, Peter (12)

Härdle, Wolfgang (11)

Zhou, Hao (11)

GUEGAN, Dominique (10)

Wu, Liuren (9)

McAleer, Michael (7)

Chang, Chia-Lin (7)

Ielpo, Florian (7)

Cites to:

Engle, Robert (19)

Hansen, Lars (19)

Ait-Sahalia, Yacine (11)

Jagannathan, Ravi (10)

Singleton, Kenneth (10)

Evans, Martin (10)

Bollerslev, Tim (10)

Lyons, Richard (9)

Lo, Andrew (8)

Scaillet, Olivier (7)

Campbell, John (7)

Main data


Where Joshua Rosenberg has published?


Journals with more than one article published# docs
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
Staff Reports / Federal Reserve Bank of New York7
Speech / Federal Reserve Bank of New York3

Recent works citing Joshua Rosenberg (2019 and 2018)


YearTitle of citing document
2017Nonparametric estimates of pricing functionals. (2017). d'Addona, Stefano ; Marinelli, Carlo . In: Papers. RePEc:arx:papers:1506.06568.

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2017Fractional delta hedging strategy for pricing currency options with transaction costs. (2017). Shokrollahi, Foad. In: Papers. RePEc:arx:papers:1702.00037.

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2018Randomization Tests for Equality in Dependence Structure. (2018). Seo, Juwon. In: Papers. RePEc:arx:papers:1811.02105.

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2017A Multivariate Analysis for Risk Capital Estimation in Insurance Industry: Vine Copulas. (2017). Mejdoub, Hanene ; Ben Arab, Mounira . In: Asian Development Policy Review. RePEc:asi:adprev:2017:p:100-119.

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2018Stock price response to new‐CEO earnings news. (2018). Geertsema, Paul G ; Lu, Helen ; Lont, David H. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:849-883.

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2018Low‐frequency volatility of real estate securities and macroeconomic risk. (2018). Lee, Chyi Lin ; Stevenson, Simon. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:311-342.

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2017Risk Control: Who Cares?. (2017). Taylor, Nick. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:1:p:153-179.

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2018Are the Fama French factors treated as risk? Evidence from CEO compensation. (2018). Bertomeu, Jeremy ; Liuwatts, Michelle ; Cheynel, Edwige. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:5:p:728-774.

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2019The face of risk: CEO facial masculinity and firm risk. (2019). Park, Soohyun ; Kim, Han Y ; Kamiya, Shinichi. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:239-270.

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2018Productivity Risk and Industry Momentum. (2018). Misirli, Efdal Ulas. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:3:p:739-774.

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2017Optimal Enterprise Risk Management and Decision Making With Shared and Dependent Risks. (2017). Ai, Jing ; Wang, Tianyang ; Brockett, Patrick L. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:4:p:1127-1169.

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2018Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919.

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2017Dependency between Risks and the Insurer’s Economic Capital: A Copula-based GARCH Model. (2017). Jeungbo, Shim ; Seung-Hwan, Lee . In: Asia-Pacific Journal of Risk and Insurance. RePEc:bpj:apjrin:v:11:y:2017:i:1:p:29:n:3.

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2018Medida de aversión al Riesgo Mediante Volatilidades Implícitas Realizadas. (2018). Sagner, Andres ; Fernandois, Antonio ; Alvarez, Nicolas. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:818.

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2019INTEGRATION OF FINANCIAL RISKS WITH NON FINANCIAL RISKS: AN EXPLORATORY STUDY FROM PAKISTANI CONTEXT. (2019). ALI, SYED ALAMDAR . In: Copernican Journal of Finance & Accounting. RePEc:cpn:umkcjf:v:8:y:2019:i:2:p:49-65.

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2018Generalized Recovery. (2018). Lando, David ; Jensen, Christian Skov ; Pedersen, Lasse Heje. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12665.

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2019Overpricing in Spanish Treasury Auctions. (2019). Mazon, Cristina ; Alvarez, Francisco. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:1:alvarezmazon.

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2017Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market. (2017). Wu, Xin Yu ; Zhou, Hailin ; Ren, Senchun. In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:4:p:263-278.

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2019Identifying horizon-based heterogeneity in the cross section of portfolio returns. (2019). Lundberg, Clark. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00123.

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2017On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options. (2017). Oosterlee, Cornelis W ; Leitao, Alvaro ; Grzelak, Lech A. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:293:y:2017:i:c:p:461-479.

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2019Functional Ross recovery: Theoretical results and empirical tests. (2019). Maurer, Raimond ; Dillschneider, Yannick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301496.

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2017Adverse risk interaction: An integrated approach. (2017). Boovi, Milo ; Ivanovi, Jelena. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:67-74.

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2019Sovereign bond markets when auctions take place: Evidence from Italy. (2019). Cafiso, Gianluca. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:406-430.

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2019Bank risk aggregation with forward-looking textual risk disclosures. (2019). Zhu, Xiaoqian ; Li, Jianping ; Wenli, Guo ; Wei, LU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306168.

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2018Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

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2018Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network. (2018). Ugolini, Andrea ; Arismendi Zambrano, Juan ; Rivera-Castro, Miguel A. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:164-189.

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2017Nonparametric estimates of pricing functionals. (2017). d'Addona, Stefano ; Daddona, Stefano ; Marinelli, Carlo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:19-35.

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2018CAPM, components of beta and the cross section of expected returns. (2018). Cenesizoglu, Tolga ; Reeves, Jonathan J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:223-246.

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2019A multiple regime extension to the Heston–Nandi GARCH(1,1) model. (2019). Constantinou, Nick ; Diaz-Hernandez, Adan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:162-180.

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2018Credit and market risks measurement in carbon financing for Chinese banks. (2018). Zhang, XI ; Li, Jian. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:549-557.

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2019A real option model for geothermal heating investment decision making: Considering carbon trading and resource taxes. (2019). Liu, Lancui ; Wei, Yi-Ming ; Yu, Shiwei. In: Energy. RePEc:eee:energy:v:189:y:2019:i:c:s0360544219319474.

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2019Market for CEO talent, determinants and consequences. (2019). , Saifullah ; Ullah, Saif. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:395-405.

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2019Modeling diversification and spillovers of loan portfolios losses by LHP approximation and copula. (2019). Yang, Kisung ; Lee, Yongwoong . In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919300894.

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2018Copula approaches for modeling cross-sectional dependence of data breach losses. (2018). Eling, Martin ; Jung, Kwangmin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:167-180.

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2019Ownership structure and market efficiency. (2019). Nakabayashi, Masaki. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:189-212.

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2017Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:848-863.

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2017CEO turnover in large banks: Does tail risk matter?. (2017). Mollah, Sabur ; Vallascas, Francesco ; Keasey, Kevin ; Srivastav, Abhishek. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:64:y:2017:i:1:p:37-55.

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2017Option pricing under time-varying risk-aversion with applications to risk forecasting. (2017). Kiesel, Rudiger ; Rahe, Florentin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:120-138.

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2018Speculation, risk aversion, and risk premiums in the crude oil market. (2018). Li, Bingxin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:64-81.

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2018An intertemporal CAPM with stochastic volatility. (2018). Campbell, John ; Turley, Robert ; Polk, Christopher ; Giglio, Stefano. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:207-233.

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2018Asset pricing with beliefs-dependent risk aversion and learning. (2018). Berrada, Tony ; Rindisbacher, Marcel ; Detemple, Jerome ; De Temple, Jerome. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:3:p:504-534.

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2018Downside risks and the cross-section of asset returns. (2018). Farago, Adam ; Tedongap, Romeo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:69-86.

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2018Stocks with extreme past returns: Lotteries or insurance?. (2018). Barinov, Alexander. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:3:p:458-478.

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2019Generalized recovery. (2019). Pedersen, Lasse Heje ; Lando, David ; Jensen, Christian Skov. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:1:p:154-174.

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2018Trading by bank insiders before and during the 2007–2008 financial crisis. (2018). Cziraki, Peter. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:33:y:2018:i:c:p:58-82.

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2018The joint distribution of the sum and maximum of dependent Pareto risks. (2018). Arendarczyk, Marek ; Panorska, Anna K ; Kozubowski, Tomasz J. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:167:y:2018:i:c:p:136-156.

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2018Stock market reaction to irregular supermarket chain behaviour: An investigation in the retail sectors of Ireland and the United Kingdom. (2018). Corbet, Shaen ; McMullan, Caroline. In: Journal of Retailing and Consumer Services. RePEc:eee:joreco:v:43:y:2018:i:c:p:20-29.

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2018Global price discovery in the Australian dollar market and its determinants. (2018). Su, Fei ; Zhang, Jingjing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:48:y:2018:i:c:p:35-55.

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2019VIX derivatives: Valuation models and empirical evidence. (2019). Yu, Min-Teh ; Wang, Yaw-Huei ; Shih, Pai-Ta ; Lo, Chien-Ling. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:1-21.

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2019Double correlation model for operational risk: Evidence from Chinese commercial banks. (2019). Xu, Chi ; Wang, Nuan ; Ji, Jingru ; Zheng, Chunling. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:327-339.

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2017Macroeconomic factors and index option returns. (2017). Lai, Ya-Wen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:452-477.

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2017Time-varying risk aversion and return predictability. (2017). Yoon, Sun-Joong . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:327-339.

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2018The dependence structure between Chinese and other major stock markets using extreme values and copulas. (2018). Hussain, Saiful Izzuan ; Li, Steven. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:421-437.

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2018The influence of risk culture on firm returns in times of crisis. (2018). Bui, Dien Giau ; Lin, Chih-Yung ; Fang, Yiwei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:291-306.

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2018Impact of dependence modeling of non-life insurance risks on capital requirement: D-Vine Copula approach. (2018). Mejdoub, Hanene ; Ben Arab, Mounira . In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:208-218.

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2018What determines the Japanese corporate credit spread? A new evidence. (2018). Azad, A. S. M. Sohel, ; Ahsan, Amirul ; Cooper, Peter ; Chazi, Abdelaziz. In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:349-356.

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2019Implied volatility and the cross section of stock returns in the UK. (2019). Agarwal, Vineet ; Chandorkar, Pankaj ; Poshakwale, Sunil S. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:271-286.

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2018An Intertemporal CAPM with stochastic volatility. (2018). Campbell, John ; Turley, Robert ; Polk, Christopher ; Giglio, Stefano. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:69634.

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2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, T-L., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111552.

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2018Does the Clarity of Monetary Policy Reports Reduce Volatility in Financial Markets?. (2018). Jansen, David-Jan ; Cihak, Martin ; Bulir, Ales. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:68:y:2018:i:1:p:2-17.

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2018Where is the Risk Reward? The Impact of Volatility-Based Fund Classification on Performance. (2018). Ewen, Martin. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:80-:d:163391.

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2018Improving Operational Risk Management Using Business Performance Management Technologies. (2018). Weeserik, Bram Pieket ; Spruit, Marco . In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:3:p:640-:d:133962.

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2018An Improvement of Gain-Loss Price Bounds on Options Based on Binomial Tree and Market-Implied Risk-Neutral Distribution. (2018). Jiang, Shi-Jie ; Chung, Cheng-Huang ; Lei, Mujun. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1942-:d:151688.

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2019Premiums for Non-Sustainable and Sustainable Components of Market Volatility: Evidence from the Korean Stock Market. (2019). Kim, Jungmu ; Thu, Thuy Thi. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:18:p:5123-:d:268548.

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2018The skewness of commodity futures returns. (2018). Fuertes, Ana-Maria ; Frijns, Bart ; Miffre, Joelle ; Fernandez-Perez, Adrian. In: Post-Print. RePEc:hal:journl:hal-01678744.

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2019Do bank boards matter? A literature review on the characteristics of banks board of directors. (2019). Lagasio, Valentina ; Brogi, Marina. In: International Journal of Business Governance and Ethics. RePEc:ids:ijbget:v:13:y:2019:i:3:p:244-274.

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2019Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market. (2019). Polaski, Zachary ; Guerra, Manuel. In: Working Papers REM. RePEc:ise:remwps:wp0742019.

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2019Price dynamics in corn cash and futures markets: cointegration, causality, and forecasting through a rolling window approach. (2019). Xu, Xiaojie. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:2:d:10.1007_s11408-019-00330-7.

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2019Let Me Make It Up to You: Understanding the Mitigative Ability of Corporate Social Responsibility Following Product Recalls. (2019). Smith, Dustin ; Miller, Douglas R ; Noack, David. In: Journal of Business Ethics. RePEc:kap:jbuset:v:157:y:2019:i:2:d:10.1007_s10551-017-3639-7.

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2018The pricing kernel puzzle in forward looking data. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-017-9140-8.

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2018Financial statements based bank risk aggregation. (2018). Li, Jianping ; Wu, Dengsheng ; Zhu, Xiaoqian ; Lee, Cheng-Few ; Wei, LU. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0642-0.

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2019Going concern opinions and IPO pricing accuracy. (2019). Zheng, Qiancheng ; Yi, Bingsheng ; Steigner, Tanja ; Matanova, Natalia. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:53:y:2019:i:1:d:10.1007_s11156-018-0747-0.

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2018Does the Federal Constitutional Court Ruling Mean the German Financial Market is Efficient?. (2018). Fakhry, Bachar ; Richter, Christian. In: European Journal of Business Science and Technology. RePEc:men:journl:v:4:y:2018:i:2:p:111-125.

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2018Does financial market volatility influence the real economy?. (2018). de Backer, B. In: Economic Review. RePEc:nbb:ecrart:y:2018:m:december:i:iv:p:107-124.

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2019The Time Variation in Risk Appetite and Uncertainty. (2019). Bekaert, Geert ; Xu, Nancy R ; Engstrom, Eric C. In: NBER Working Papers. RePEc:nbr:nberwo:25673.

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2019Does CEO Turnover Affect Stock Market Performance through Company Performance in Indonesian Companies?. (2019). MacHdar, Nera Marinda . In: International Journal of Applied Economics, Finance and Accounting. RePEc:oap:ijaefa:2019:p:15-21.

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2017What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models. (2017). Julliard, Christian ; Taylor, Alex P ; Ghosh, Anisha. In: Review of Financial Studies. RePEc:oup:rfinst:v:30:y:2017:i:2:p:442-504..

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2019Hedge fund activism, voice, and value creation. (2019). Kanas, Angelos ; Bouras, Chris ; Karpouzis, Efstathios. In: MPRA Paper. RePEc:pra:mprapa:92576.

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2019Interactions between Credit and Market Risk, Diversification vs Compounding effects. (2019). Szybisz, Martin Andres. In: MPRA Paper. RePEc:pra:mprapa:93173.

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2019Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows. (2019). GUPTA, RANGAN ; Demirer, Riza ; Bouras, Christos ; Bathia, Deven. In: Working Papers. RePEc:pre:wpaper:201937.

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2018Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies. (2018). Wang, Jianlin ; Ozdagli, Ali ; Chernobai, Anna. In: 2018 Meeting Papers. RePEc:red:sed018:1146.

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2017OPERATIONAL RISK MANAGEMENT. (2017). Diaconu, Aurelian ; Popovici, Marius ; Burea, Doina ; Avram, Doina ; Badiu, Alexandru . In: Romanian Statistical Review Supplement. RePEc:rsr:supplm:v:65:y:2017:i:5:p:221-229.

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2017Financial market analysis models. (2017). Anghelache, Constantin ; Popovici, Marius . In: Romanian Statistical Review Supplement. RePEc:rsr:supplm:v:65:y:2017:i:6:p:174-183.

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2017ОЦЕНКА РИСКА ОСТАТОЧНОЙ СТОИМОСТИ СЕКЬЮРИТИЗИРОВАННОГО ПУЛА АКТИВОВ ОПЕРАТИВНОГО ЛИЗИНГА // A SECURITIZED POOL OF OPERAT. (2017). Petrova, E ; Е. Петрова А., . In: Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice. RePEc:scn:financ:y:2014:i:3:p:127-138.

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2017How well do EO measures and entrepreneurial behavior match?. (2017). Stambaugh, Jeffrey E ; Kataria, Niyati ; Lumpkin, G T ; Martinez, John. In: International Entrepreneurship and Management Journal. RePEc:spr:intemj:v:13:y:2017:i:3:d:10.1007_s11365-016-0432-5.

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2018Hedge fund attributes, insider behavior, and IPO volatility. (2018). Hull, Robert M ; Walker, Rosemary ; Kwak, Sungkyu . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:42:y:2018:i:2:d:10.1007_s12197-017-9396-8.

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2018Operational risk and its impact on North American and British banks. (2018). Jiang, Xingnan. In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:8:p:920-933.

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2017The shape of small sample biases in pricing kernel estimations. (2017). , Dietmar. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:6:p:943-958.

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2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1826.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:39.

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2017Importance Sampling for Credit Portfolio Risk with Risk Factors Having t-Copula. (2017). Chen, Rongda ; Yu, Lean ; Wang, ZE. In: International Journal of Information Technology & Decision Making (IJITDM). RePEc:wsi:ijitdm:v:16:y:2017:i:04:n:s0219622017500201.

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2018INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL. (2018). Han, Xixuan ; Yang, Hailiang ; Wei, Boyu. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500140.

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2018OUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTS. (2018). Faias, Jose Afonso ; Castel-Branco, Tiago. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500437.

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Works by Joshua Rosenberg:


YearTitleTypeCited
2002Empirical pricing kernels In: Journal of Financial Economics.
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article210
2000Empirical Pricing Kernels.(2000) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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This paper has another version. Agregated cites: 210
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2006A general approach to integrated risk management with skewed, fat-tailed risks In: Journal of Financial Economics.
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article112
2004A general approach to integrated risk management with skewed, fat-tailed risks.(2004) In: Staff Reports.
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This paper has another version. Agregated cites: 112
paper
1998Pricing multivariate contingent claims using estimated risk-neutral density functions In: Journal of International Money and Finance.
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article17
1996Pricing Multivariate Contingent Claims Using Estimated Risk-neutral Density Functions.(1996) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]
This paper has another version. Agregated cites: 17
paper
1997Pricing Multivariate Contingent Claims using Estimated Risk-neutral Density Functions.(1997) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]
This paper has another version. Agregated cites: 17
paper
2016Operational risk management at the Federal Reserve Bank of New York In: Speech.
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paper0
2018Why do risk events occur? Insights from accident models: remarks at the 7th Annual Risk Americas 2018 Conference, New York City In: Speech.
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paper0
2019Thrive in Any Environment: Strengthening Resilience Through Risk Management In: Speech.
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paper0
2003Nonparametric pricing of multivariate contingent claims In: Staff Reports.
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paper31
2003The impact of CEO turnover on equity volatility In: Staff Reports.
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paper43
2005The Impact of CEO Turnover on Equity Volatility.(2005) In: The Journal of Business.
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This paper has another version. Agregated cites: 43
article
2006Stock returns and volatility: pricing the short-run and long-run components of market risk In: Staff Reports.
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paper133
2006Price discovery in the foreign currency futures and spot market In: Staff Reports.
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paper8
2007How do treasury dealers manage their positions? In: Staff Reports.
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paper10
2007The effect of employee stock options on bank investment choice, borrowing, and capital In: Staff Reports.
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paper15
1966Testing the Volatility Term Structure Using Option Hedging Criteria In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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paper12
1998Testing the Volatility Term Structure using Option Hedging Criteria.(1998) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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This paper has another version. Agregated cites: 12
paper
1999Empirical Tests of Interest Rate Model Pricing Kernels In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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paper1
2000Asset Pricing Puzzles: Evidence from Options Markets In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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paper2
1999Option-Based Tests of Interest Rate Diffusion Functions In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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paper0
1999Implied Volatility Functions: A Reprise In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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paper17
1999Semiparametric Pricing of Multivariate Contingent Claims In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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paper20
1994Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models In: NBER Working Papers.
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paper7
1995GARCH Gamma In: NBER Working Papers.
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paper7
1997Option Hedging Using Empirical Pricing Kernels In: NBER Working Papers.
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paper6

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