Joshua Rosenberg : Citation Profile


Are you Joshua Rosenberg?

Federal Reserve Bank of New York

11

H index

12

i10 index

732

Citations

RESEARCH PRODUCTION:

6

Articles

23

Papers

RESEARCH ACTIVITY:

   53 years (1966 - 2019). See details.
   Cites by year: 13
   Journals where Joshua Rosenberg has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 12 (1.61 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pro389
   Updated: 2021-03-27    RAS profile: 2015-01-16    
   Missing citations? Add them    Incorrect content? Let us know

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)

Zhou, Hao (12)

van den Goorbergh, Rob (12)

Christoffersen, Peter (12)

Patton, Andrew (12)

GUEGAN, Dominique (10)

Wu, Liuren (9)

Härdle, Wolfgang (7)

McAleer, Michael (7)

Ielpo, Florian (7)

Chang, Chia-Lin (7)

Cites to:

Hansen, Lars (19)

Engle, Robert (19)

Singleton, Kenneth (11)

Ait-Sahalia, Yacine (11)

Jagannathan, Ravi (10)

Evans, Martin (10)

Bollerslev, Tim (10)

Lyons, Richard (9)

Lo, Andrew (8)

Scaillet, Olivier (7)

Longstaff, Francis (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 (2021 and 2020)


YearTitle of citing document
2020Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen . In: Papers. RePEc:arx:papers:2006.15054.

Full description at Econpapers || Download paper

2020Term Premium Dynamics and its Determinants: The Mexican Case. (2020). Roldan-Pea, Jessica ; Elizondo, Rocio ; Diego-Fernandez, Maria ; Aguilar-Argaez, Ana. In: Working Papers. RePEc:bdm:wpaper:2020-18.

Full description at Econpapers || Download paper

2020Co-opted directors, covenant intensity, and covenant violations. (2020). Vu, Tram ; Do, Viet ; Lim, Jesslyn. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920300729.

Full description at Econpapers || Download paper

2021Macroeconomic forecasts and commodity futures volatility. (2021). Liu, Xiaoquan ; Jiang, Ying ; Deschamps, Bruno ; Guo, Ranran ; Ye, Wuyi. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:981-994.

Full description at Econpapers || Download paper

2020Implied risk aversion and pricing kernel in the FTSE 100 index. (2020). Sung, Hao-Chang ; Ju, Wen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302092.

Full description at Econpapers || Download paper

2020Nonparametric filtering of conditional state-price densities. (2020). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:295-325.

Full description at Econpapers || Download paper

2020Option market trading activity and the estimation of the pricing kernel: A Bayesian approach. (2020). Fusari, Nicola ; Barone-Adesi, Giovanni ; Sala, Carlo ; Mira, Antonietta. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:430-449.

Full description at Econpapers || Download paper

2020The term structure of equity and variance risk premia. (2020). Ait-Sahalia, Yacine ; Mancini, Loriano ; Karaman, Mustafa. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:204-230.

Full description at Econpapers || Download paper

2021Option pricing with conditional GARCH models. (2021). Stentoft, Lars ; Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Rastegari, Javad. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:350-363.

Full description at Econpapers || Download paper

2020Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions. (2020). Beetsma, Roel ; de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:96-120.

Full description at Econpapers || Download paper

2020Does proprietary day trading provide liquidity at a cost to investors?. (2020). Lim, Kian-Ping ; Goh, Kim-Leng ; Liew, Ping-Xin. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919304764.

Full description at Econpapers || Download paper

2020Which sentiment index is more informative to forecast stock market volatility? Evidence from China. (2020). Tang, Linchun ; Liang, Chao ; Wei, YU. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301964.

Full description at Econpapers || Download paper

2020Risk premium spillovers among stock markets: Evidence from higher-order moments. (2020). Aboura, Sofiane ; Finta, Marinela Adriana. In: Journal of Financial Markets. RePEc:eee:finmar:v:49:y:2020:i:c:s1386418120300021.

Full description at Econpapers || Download paper

2021Aggregate volatility risk: International evidence. (2021). Peterburgsky, Stanley. In: Global Finance Journal. RePEc:eee:glofin:v:47:y:2021:i:c:s1044028319301012.

Full description at Econpapers || Download paper

2020Moment risk premia and the cross-section of stock returns in the European stock market. (2020). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s037842661930305x.

Full description at Econpapers || Download paper

2020VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump. (2020). Wang, Zerong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301114.

Full description at Econpapers || Download paper

2021Pricing kernel monotonicity and term structure: Evidence from China. (2021). Guo, Shuxin ; Liu, Qiang ; Jiao, Yuhan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302983.

Full description at Econpapers || Download paper

2020The yield spreads ability to forecast economic activity: What have we learned after 30 years of studies?. (2020). Papadamou, Stephanos ; Siriopoulos, Costas ; Evgenidis, Anastasios. In: Journal of Business Research. RePEc:eee:jbrese:v:106:y:2020:i:c:p:221-232.

Full description at Econpapers || Download paper

2020Does the Ross recovery theorem work empirically?. (2020). Menner, Marco ; Jackwerth, Jens Carsten. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:723-739.

Full description at Econpapers || Download paper

2020Aggregate profit instability and time variations in momentum returns: Evidence from China. (2020). Wei, YA ; Yin, Libo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x19303683.

Full description at Econpapers || Download paper

2020Variance risk premium in a small open economy with volatile capital flows: The case of Korea. (2020). Yun, Jaeho. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:105-125.

Full description at Econpapers || Download paper

2020CBOE VIX and Jump-GARCH option pricing models. (2020). Yoon, Sun-Joong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:839-859.

Full description at Econpapers || Download paper

2020The fair value of a token: How do markets price cryptocurrencies?. (2020). Guo, Yike ; Nadler, Philip. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919300601.

Full description at Econpapers || Download paper

2020Consideration of Risk Factors in Corporate Property Portfolio Management. (2020). Karpenko, Lidiia ; Bezkorovaina, Olha ; Poprozman, Nataliia ; Oliinyk, Nataliia ; Chunytska, Iryna. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:12:p:299-:d:453334.

Full description at Econpapers || Download paper

2020Is Investors’ Psychology Affected Due to a Potential Unexpected Environmental Disaster?. (2020). HALKOS, GEORGE ; Zisiadou, Argyro. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:151-:d:383470.

Full description at Econpapers || Download paper

2020Modeling the Risk of Extreme Value Dependence in Chinese Regional Carbon Emission Markets. (2020). Zhang, Jeffrey ; Yang, Yuhong ; Hu, Genhua ; Qiu, Hong. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:19:p:7911-:d:418785.

Full description at Econpapers || Download paper

2021The Long-Run Impact of Information Security Breach Announcements on Investors’ Confidence: The Context of Efficient Market Hypothesis. (2021). Shad, Muhammad Kashif ; Hassan, Rohail ; Lai, Fong-Woon ; Azhar, Syed Emad . In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:3:p:1066-:d:484104.

Full description at Econpapers || Download paper

2020Market shocks and professionals investment behavior - Evidence from the COVID-19 crash. (2020). Huber, Christoph ; Kirchler, Michael. In: Working Papers. RePEc:inn:wpaper:2020-11.

Full description at Econpapers || Download paper

2021Volatility Shocks and Investment Behavior. (2021). Kirchler, Michael ; Huber, Jurgen. In: Working Papers. RePEc:inn:wpaper:2021-06.

Full description at Econpapers || Download paper

2020Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints. (2020). , Antonio ; Antonio, ; Monteiro, Ana M. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:1:d:10.1007_s11147-019-09156-x.

Full description at Econpapers || Download paper

2020A note on options and bubbles under the CEV model: implications for pricing and hedging. (2020). Cruz, Aricson ; Vidal, Joo Pedro ; Dias, Jose Carlos. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:3:d:10.1007_s11147-019-09164-x.

Full description at Econpapers || Download paper

2021Analysis of the bitcoin stock market indexes using comparative study of two models SV with MCMC algorithm. (2021). Hachicha, F. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:2:d:10.1007_s11156-020-00905-w.

Full description at Econpapers || Download paper

2020Mortgage-related bank penalties and systemic risk among U.S. banks. (2020). Kočenda, Evžen ; Broza, Vaclav ; Kocenda, Evzen . In: KIER Working Papers. RePEc:kyo:wpaper:1024.

Full description at Econpapers || Download paper

2020Forecasting with importance-sampling and path-integrals: Applications to COVID-19. (2020). Ingber, Lester. In: Lester Ingber Papers. RePEc:lei:ingber:20fi.

Full description at Econpapers || Download paper

2020Market shocks and professionals investment behavior – Evidence from the COVID-19 crash. (2020). Huber, Christoph ; Kirchler, Michael. In: OSF Preprints. RePEc:osf:osfxxx:fgxpb.

Full description at Econpapers || Download paper

2021Volatility shocks and investment behavior. (2021). Kirchler, Michael ; Huber, Juergen. In: OSF Preprints. RePEc:osf:osfxxx:jr4eb.

Full description at Econpapers || Download paper

2020.

Full description at Econpapers || Download paper

2020Scenario Analysis Approach for Operational Risk in Insurance Companies. (2020). Vyskoeil, Michal. In: ACTA VSFS. RePEc:prf:journl:v:14:y:2020:i:2:p:153-165.

Full description at Econpapers || Download paper

2020Tradability, closeness to market prices, and expected profit: their measurement for a binomial model of options pricing in a heterogeneous market. (2020). Herbon, Avi ; Shvimer, Yossi. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:3:d:10.1007_s11403-019-00259-0.

Full description at Econpapers || Download paper

2020Inducement grants, hiring announcements, and adverse selection for new CEOs. (2020). Cadman, Brian ; Peng, Xiaoxia ; Carrizosa, Richard. In: Review of Accounting Studies. RePEc:spr:reaccs:v:25:y:2020:i:1:d:10.1007_s11142-019-09517-9.

Full description at Econpapers || Download paper

2021Optimal portfolio allocation using option?implied information. (2021). Strittmatter, Marius ; Olmo, Jose ; Kyriacou, Maria. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:2:p:266-285.

Full description at Econpapers || Download paper

2020Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing. (2020). Wang, Weining ; Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020020.

Full description at Econpapers || Download paper

Works by Joshua Rosenberg:


YearTitleTypeCited
2002Empirical pricing kernels In: Journal of Financial Economics.
[Full Text][Citation analysis]
article231
2000Empirical Pricing Kernels.(2000) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 231
paper
2006A general approach to integrated risk management with skewed, fat-tailed risks In: Journal of Financial Economics.
[Full Text][Citation analysis]
article116
2004A general approach to integrated risk management with skewed, fat-tailed risks.(2004) In: Staff Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 116
paper
1998Pricing multivariate contingent claims using estimated risk-neutral density functions In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article19
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: 19
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: 19
paper
2005Stock returns and volatility: pricing the long-run and short-run components of market risk In: Proceedings.
[Full Text][Citation analysis]
article2
2008Signal or noise? Implications of the term premium for recession forecasting In: Economic Policy Review.
[Full Text][Citation analysis]
article11
2016Operational risk management at the Federal Reserve Bank of New York In: Speech.
[Full Text][Citation analysis]
paper0
2018Why do risk events occur? Insights from accident models: remarks at the 7th Annual Risk Americas 2018 Conference, New York City In: Speech.
[Full Text][Citation analysis]
paper0
2019Thrive in Any Environment: Strengthening Resilience Through Risk Management In: Speech.
[Full Text][Citation analysis]
paper0
2003Nonparametric pricing of multivariate contingent claims In: Staff Reports.
[Full Text][Citation analysis]
paper31
2003The impact of CEO turnover on equity volatility In: Staff Reports.
[Full Text][Citation analysis]
paper52
2005The Impact of CEO Turnover on Equity Volatility.(2005) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
article
2006Stock returns and volatility: pricing the short-run and long-run components of market risk In: Staff Reports.
[Full Text][Citation analysis]
paper159
2006Price discovery in the foreign currency futures and spot market In: Staff Reports.
[Full Text][Citation analysis]
paper9
2007How do treasury dealers manage their positions? In: Staff Reports.
[Full Text][Citation analysis]
paper11
2007The effect of employee stock options on bank investment choice, borrowing, and capital In: Staff Reports.
[Full Text][Citation analysis]
paper15
1966Testing the Volatility Term Structure Using Option Hedging Criteria In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]
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.
[Full Text][Citation analysis]
paper1
2000Asset Pricing Puzzles: Evidence from Options Markets In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
paper2
1999Option-Based Tests of Interest Rate Diffusion Functions In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
paper0
1999Implied Volatility Functions: A Reprise In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
paper17
1999Semiparametric Pricing of Multivariate Contingent Claims In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
paper23
1994Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models In: NBER Working Papers.
[Full Text][Citation analysis]
paper7
1995GARCH Gamma In: NBER Working Papers.
[Full Text][Citation analysis]
paper7
1997Option Hedging Using Empirical Pricing Kernels In: NBER Working Papers.
[Full Text][Citation analysis]
paper7

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team