Joshua Rosenberg : Citation Profile

Are you Joshua Rosenberg?

Federal Reserve Bank of New York

12

H index

14

i10 index

863

Citations

RESEARCH PRODUCTION:

6

Articles

24

Papers

RESEARCH ACTIVITY:

   56 years (1966 - 2022). See details.
   Cites by year: 15
   Journals where Joshua Rosenberg has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 12 (1.37 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pro389
   Updated: 2024-11-04    RAS profile: 2024-04-25    
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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 (14)

Zhou, Hao (12)

Härdle, Wolfgang (12)

GUEGAN, Dominique (10)

van den Goorbergh, Rob (9)

Wu, Liuren (9)

Martin, Vance (7)

Girma, Sourafel (7)

Ielpo, Florian (7)

Chang, Chia-Lin (7)

Cites to:

Engle, Robert (22)

Hansen, Lars (20)

Bollerslev, Tim (14)

Jagannathan, Ravi (13)

Ait-Sahalia, Yacine (11)

Singleton, Kenneth (11)

Evans, Martin (11)

Lyons, Richard (10)

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 York4
NBER Working Papers / National Bureau of Economic Research, Inc3

Recent works citing Joshua Rosenberg (2024 and 2023)

YearTitle of citing document
2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2024Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2024Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068.

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2023Optimal measure preserving derivatives revisited. (2023). Beare, Brendan. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:370-388.

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2024Central 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.

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2024Sustainable 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.

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2024Information 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.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Predicting 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.

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2023Identifying 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.

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2023Bank 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.

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2023Succession planning and firm innovation. (2023). Zhou, Fuzhao. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006864.

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2024Dynamic 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.

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2023Profitability anomaly and aggregate volatility risk. (2023). Barinov, Alexander. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000714.

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2023The long-run risk premium in the intertemporal CAPM: International evidence. (2023). Sakemoto, Ryuta. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001221.

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2024Corporate acquisitions and firm-level uncertainty: Domestic versus cross-border deals. (2024). Girma, Sourafel ; Bai, YE ; Riao, Alejandro. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001894.

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2023Do 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.

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2023Diminishing 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.

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2023Bridging 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.

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2024Size, value and volatility. (2024). Peterburgsky, Stanley. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:752-763.

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2023The Pricing Kernel in Options. (2023). Kim, Hyung Joo ; Jacobs, Kris ; Heston, Steven. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96652.

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2023What is the Consumption-CAPM missing? An informative-Theoretic Framework for the Analysis of Asset Pricing Models. (2011). Julliard, Christian ; Ghosh, Anisha. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp691.

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2024Entropy Augmented Asset Pricing Model: Study on Indian Stock Market. (2024). Barai, Parama ; Mishra, Harshit. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:1:d:10.1007_s10690-023-09407-w.

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2024Volatility-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.

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2023Forecasting 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.

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2023Enhancing gradient capital allocation with orthogonal convexity scenarios. (2023). Schlutter, Sebastian ; Aigner, Philipp. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4723.

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Works by Joshua Rosenberg:

YearTitleTypeCited
2002Empirical pricing kernels In: Journal of Financial Economics.
[Full Text][Citation analysis]		article283
2000Empirical 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: 283		paper
2006A general approach to integrated risk management with skewed, fat-tailed risks In: Journal of Financial Economics.
[Full Text][Citation analysis]		article134
2004A 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
1998Pricing multivariate contingent claims using estimated risk-neutral density functions In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article20
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 nother version. Agregated cites: 20		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 nother version. Agregated cites: 20		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]		article12
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
2022Things That Have Never Happened Before Happen All the Time In: Speech.
[Full Text][Citation analysis]		paper0
2003Nonparametric pricing of multivariate contingent claims In: Staff Reports.
[Full Text][Citation analysis]		paper32
2003The impact of CEO turnover on equity volatility In: Staff Reports.
[Full Text][Citation analysis]		paper68
2005The 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
2006Stock returns and volatility: pricing the short-run and long-run components of market risk In: Staff Reports.
[Full Text][Citation analysis]		paper186
2006Price discovery in the foreign currency futures and spot market In: Staff Reports.
[Full Text][Citation analysis]		paper10
2007How do treasury dealers manage their positions? In: Staff Reports.
[Full Text][Citation analysis]		paper16
2007The effect of employee stock options on bank investment choice, borrowing, and capital In: Staff Reports.
[Full Text][Citation analysis]		paper18
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 nother 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]		paper26
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]		paper10

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