12
H index
14
i10 index
727
Citations
Joshua Rosenberg : Citation Profile
Federal Reserve Bank of New York | RESEARCH PRODUCTION: 6 Articles 24 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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56 years (1966 - 2022). 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:
| Cites to:
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Main data
Where Joshua Rosenberg has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Financial Economics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Staff Reports / Federal Reserve Bank of New York | 7 |
| Speech / Federal Reserve Bank of New York | 4 |
| NBER Working Papers / National Bureau of Economic Research, Inc | 3 |
Recent works citing Joshua Rosenberg (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper |
| 2024 | Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949. Full description at Econpapers || Download paper |
| 2023 | Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203. Full description at Econpapers || Download paper |
| 2023 | Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068. Full description at Econpapers || Download paper |
| 2023 | Optimal measure preserving derivatives revisited. (2023). Beare, Brendan. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:370-388. Full description at Econpapers || Download paper |
| 2024 | Central bank asset purchases and auction cycles revisited: new evidence from the euro area. (2024). Ferrara, Federico Maria. In: Working Paper Series. RePEc:ecb:ecbwps:20242927. Full description at Econpapers || Download paper |
| 2024 | Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Escribano, Ana ; Diaz, Antonio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029. Full description at Econpapers || Download paper |
| 2024 | Information transfer of CEO turnover: Evidence from firm-CEO mismatch. (2024). Thevenot, Maya ; Seavey, Scott E ; Desir, Rosemond. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992300158x. Full description at Econpapers || Download paper |
| 2023 | Predicting inflation expectations: A habit-based explanation under hedging. (2023). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003320. Full description at Econpapers || Download paper |
| 2023 | Identifying systemic risk of assets during international financial crises using Value at Risk elasticities. (2023). Fauzi, Fitriya ; Perera, Devmali ; Borer, Daniel ; Chau, Trinh Nguyen. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003484. Full description at Econpapers || Download paper |
| 2023 | Bank risk aggregation based on the triple perspectives of bank managers, credit raters, and financial analysts. (2023). Miao, Xiyuan ; Wei, LU ; Xie, Zezhong ; Liu, Zhidong ; Jing, Haozhe. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005858. Full description at Econpapers || Download paper |
| 2023 | Succession planning and firm innovation. (2023). Zhou, Fuzhao. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006864. Full description at Econpapers || Download paper |
| 2024 | Dynamic volatility regulation of financial institutions. (2024). Wiener, Zvi ; Raviv, Alon ; Hilscher, Jens. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013405. Full description at Econpapers || Download paper |
| 2023 | Do exogenous economic crises change investors’ response to earnings announcements?: A detailed review using the data from COVID-19 pandemic. (2023). Kale, Devendra. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:28:y:2023:i:c:s1703494923000427. Full description at Econpapers || Download paper |
| 2023 | Diminishing treasury convenience premiums: Effects of dealers’ excess demand and balance sheet constraints. (2023). Sundaresan, Suresh ; Klingler, Sven. In: Journal of Monetary Economics. RePEc:eee:moneco:v:135:y:2023:i:c:p:55-69. Full description at Econpapers || Download paper |
| 2023 | Bridging the gap from the current deposit insurance fund to a fund target. (2023). Ufier, Alexander B ; Okeefe, John P ; Kusaya, Charles. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:148-157. Full description at Econpapers || Download paper |
| 2023 | The Pricing Kernel in Options. (2023). Kim, Hyung Joo ; Jacobs, Kris ; Heston, Steven. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96652. Full description at Econpapers || Download paper |
| 2024 | Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle. (2024). Sibbertsen, Philipp ; Krupski, Jan ; Dierkes, Maik ; Schroen, Sebastian. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:1:d:10.1007_s11147-023-09197-3. Full description at Econpapers || Download paper |
| 2024 | Optimal 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 |
| 2023 | Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:4:p:455-479. Full description at Econpapers || Download paper |
| 2023 | Enhancing gradient capital allocation with orthogonal convexity scenarios. (2023). Schlutter, Sebastian ; Aigner, Philipp. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4723. Full description at Econpapers || Download paper |
Works by Joshua Rosenberg:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2002 | Empirical pricing kernels In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 284 |
| 2000 | Empirical Pricing Kernels.(2000) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 284 | paper | |
| 2006 | A general approach to integrated risk management with skewed, fat-tailed risks In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 134 |
| 2004 | A general approach to integrated risk management with skewed, fat-tailed risks.(2004) In: Staff Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 134 | paper | |
| 1998 | Pricing multivariate contingent claims using estimated risk-neutral density functions In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 20 |
| 1996 | Pricing 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 nother version. Agregated cites: 20 | paper | |
| 1997 | Pricing 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 nother version. Agregated cites: 20 | paper | |
| 2005 | Stock returns and volatility: pricing the long-run and short-run components of market risk In: Proceedings. [Full Text][Citation analysis] | article | 2 |
| 2008 | Signal or noise? Implications of the term premium for recession forecasting In: Economic Policy Review. [Full Text][Citation analysis] | article | 12 |
| 2016 | Operational risk management at the Federal Reserve Bank of New York In: Speech. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Why 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] | paper | 0 |
| 2019 | Thrive in Any Environment: Strengthening Resilience Through Risk Management In: Speech. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Things That Have Never Happened Before Happen All the Time In: Speech. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Nonparametric pricing of multivariate contingent claims In: Staff Reports. [Full Text][Citation analysis] | paper | 32 |
| 2003 | The impact of CEO turnover on equity volatility In: Staff Reports. [Full Text][Citation analysis] | paper | 68 |
| 2005 | The Impact of CEO Turnover on Equity Volatility.(2005) In: The Journal of Business. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | article | |
| 2006 | Stock returns and volatility: pricing the short-run and long-run components of market risk In: Staff Reports. [Full Text][Citation analysis] | paper | 49 |
| 2006 | Price discovery in the foreign currency futures and spot market In: Staff Reports. [Full Text][Citation analysis] | paper | 10 |
| 2007 | How do treasury dealers manage their positions? In: Staff Reports. [Full Text][Citation analysis] | paper | 16 |
| 2007 | The effect of employee stock options on bank investment choice, borrowing, and capital In: Staff Reports. [Full Text][Citation analysis] | paper | 18 |
| 1966 | Testing the Volatility Term Structure Using Option Hedging Criteria In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Citation analysis] | paper | 12 |
| 1998 | Testing 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 nother version. Agregated cites: 12 | paper | |
| 1999 | Empirical Tests of Interest Rate Model Pricing Kernels In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 1 |
| 2000 | Asset Pricing Puzzles: Evidence from Options Markets In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 2 |
| 1999 | Option-Based Tests of Interest Rate Diffusion Functions In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Implied Volatility Functions: A Reprise In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 17 |
| 1999 | Semiparametric Pricing of Multivariate Contingent Claims In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 26 |
| 1994 | Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 1995 | GARCH Gamma In: NBER Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 1997 | Option Hedging Using Empirical Pricing Kernels In: NBER Working Papers. [Full Text][Citation analysis] | paper | 10 |
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