Joshua Rosenberg : Citation Profile


Are you Joshua Rosenberg?

Federal Reserve Bank of New York

10

H index

10

i10 index

593

Citations

RESEARCH PRODUCTION:

4

Articles

22

Papers

RESEARCH ACTIVITY:

   52 years (1966 - 2018). See details.
   Cites by year: 11
   Journals where Joshua Rosenberg has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 12 (1.98 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pro389
   Updated: 2018-11-17    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)

Patton, Andrew (12)

van den Goorbergh, Rob (12)

Härdle, Wolfgang (11)

Christoffersen, Peter (11)

Zhou, Hao (11)

GUEGAN, Dominique (10)

Wu, Liuren (9)

Renault, Eric (7)

Ielpo, Florian (7)

Werker, Bas (6)

Cites to:

Hansen, Lars (19)

Engle, Robert (19)

Ait-Sahalia, Yacine (15)

Lo, Andrew (12)

Evans, Martin (11)

Jagannathan, Ravi (11)

Singleton, Kenneth (10)

Bollerslev, Tim (10)

Lyons, Richard (9)

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 York2

Recent works citing Joshua Rosenberg (2018 and 2017)


YearTitle of citing document
2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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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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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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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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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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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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2017How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?. (2017). al Samman, Ahmed ; Otaify, Mahmoud Moustafa. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-39.

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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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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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2017CEO overconfidence and agency cost of debt: An empirical analysis of CEO turnover events. (2017). Nejadmalayeri, Ali ; Sankaran, Harikumar ; Iyer, Subramanian R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:300-313.

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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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2017Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets. (2017). Kutan, Ali ; Chan, Sok-Gee ; Gee, Chan Sok ; Ismail, Izlin ; Qureshi, Fiza. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:176-192.

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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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2017Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama–French factors. (2017). Uk, Byoung ; Kim, Tong Suk ; In, Francis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:15-39.

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

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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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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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2017The market price of risk of the variance term structure. (2017). Dotsis, George. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

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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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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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2018.

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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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2017Reexamination of risk-taking incentives in banking: Realign incentives and curtail future episodes of mismanagement. (2017). Yang, Xiaolou . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:238-248.

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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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2017On the predictability of carry trade returns: The case of the Chinese Yuan. (2017). Sinnakkannu, Jothee ; Ramasamy, Sockalingam . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:358-376.

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2017What determines the Japanese corporate credit spread? A new evidence. (2017). , ; Ahsan, Amirul ; Cooper, Peter ; Chazi, Abdelaziz. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:354-361.

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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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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:99516.

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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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2017Horizon-dependent risk aversion and the timing and pricing of uncertainty. (2017). Schmalz, Martin ; Eisenbach, Thomas ; Andries, Marianne. In: Staff Reports. RePEc:fip:fednsr:703.

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

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2017A review on pricing of currency futures in Indian foreign exchange market. (2017). Srivastava, Ankita . In: International Journal of Economics and Business Research. RePEc:ids:ijecbr:v:13:y:2017:i:2:p:182-189.

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2017Predictive models for disaggregate stock market volatility. (2017). CHONG, Terence Tai Leung ; Lin, Shiyu . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:3:d:10.1007_s11408-017-0291-2.

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2017Conflict and Confluence: The Multidimensionality of Opportunism in Principal–Agent Relationships. (2017). Zardkoohi, Asghar ; Josefy, Mathew A ; Harrison, Joseph S. In: Journal of Business Ethics. RePEc:kap:jbuset:v:146:y:2017:i:2:d:10.1007_s10551-015-2887-7.

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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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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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2017Global Variance Term Premia and Intermediary Risk Appetite. (2017). van Tassel, Peter . In: 2017 Meeting Papers. RePEc:red:sed017:149.

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2018Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies. (2018). Chernobai, Anna ; Wang, Jianlin ; Ozdagli, Ali . 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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2017.

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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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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160010.

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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1708.

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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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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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Works by Joshua Rosenberg:


YearTitleTypeCited
2002Empirical pricing kernels In: Journal of Financial Economics.
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article192
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: 192
paper
2006A general approach to integrated risk management with skewed, fat-tailed risks In: Journal of Financial Economics.
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article106
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: 106
paper
1998Pricing multivariate contingent claims using estimated risk-neutral density functions In: Journal of International Money and Finance.
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article15
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: 15
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: 15
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
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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paper36
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: 36
article
2006Stock returns and volatility: pricing the short-run and long-run components of market risk In: Staff Reports.
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paper114
2006Price discovery in the foreign currency futures and spot market In: Staff Reports.
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paper7
2007How do treasury dealers manage their positions? In: Staff Reports.
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paper8
2007The effect of employee stock options on bank investment choice, borrowing, and capital In: Staff Reports.
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paper13
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.
[Full Text][Citation analysis]
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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paper16
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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