Joshua Rosenberg : Citation Profile

Federal Reserve Bank of New York

12

H index

13

i10 index

904

Citations

RESEARCH PRODUCTION:

6

Articles

24

Papers

RESEARCH ACTIVITY:

   56 years (1966 - 2022). See details.
   Cites by year: 16
   Journals where Joshua Rosenberg has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 12 (1.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pro389
   Updated: 2026-02-14    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 (12)

Zhou, Hao (12)

Härdle, Wolfgang (12)

GUEGAN, Dominique (10)

Wu, Liuren (9)

van den Goorbergh, Rob (9)

Chang, Chia-Lin (7)

Girma, Sourafel (7)

Martin, Vance (7)

Ielpo, Florian (7)

Cites to:

Engle, Robert (22)

Hansen, Lars (20)

Bollerslev, Tim (14)

Jagannathan, Ravi (13)

Evans, Martin (11)

Ait-Sahalia, Yacine (11)

Singleton, Kenneth (11)

Lyons, Richard (10)

Lo, Andrew (8)

Campbell, John (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 (2025 and 2024)

YearTitle of citing document
2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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2025Stochastic arbitrage with market index options. (2025). Beare, Brendan ; Seo, Juwon. In: Papers. RePEc:arx:papers:2207.00949.

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2025Portfolio selection with exogenous and endogenous transaction costs under a two-factor stochastic volatility model. (2025). Wang, Zirun ; He, Xin-Jiang ; Zhou, KE ; Yan, Dong. In: Papers. RePEc:arx:papers:2510.21156.

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2025Are Hedge Funds a Hedge for Increasing Government Debt Issuance?. (2025). Epp, Adam ; Gao, Jeffrey. In: Discussion Papers. RePEc:bca:bocadp:25-07.

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2025Les fonds de couverture : un filet pour l’augmentation des émissions d’obligations du gouvernement?. (2025). Epp, Adam ; Gao, Jeffrey. In: Discussion Papers. RePEc:bca:bocadp:25-07fr.

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2025Global risk aversion and the term premium gap in emerging market economies. (2025). Villa, Stefania ; Flaccadoro, Marco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1493_25.

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2024One Mans Death is Another Mans Bread: The Effect of a CEOs Sudden Death on Competitors Strategic Investments. (2024). Kwon, Jung Hyun ; Park, Haemin Dennis ; Choi, Yohan. In: Journal of Management Studies. RePEc:bla:jomstd:v:61:y:2024:i:4:p:1192-1229.

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2024Assessing Volatility Behaviors of Cross-Currency Derivatives in Indias Exchange Markets Using Machine Learning Algorithms. (2024). Mahato, Mritunjay ; Birau, Ramona ; Popescu, Virgil ; Meher, Bharat Kumar ; Shreevastava, Aman. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2024:i:3:p:146-155.

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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 ; Diaz, Antonio ; Escribano, Ana. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

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2025Boosting credit risk models. (2025). Baesens, Bart ; Smedts, Kristien. In: The British Accounting Review. RePEc:eee:bracre:v:57:y:2025:i:4:s0890838923000884.

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2025The effect of ESG-motivated turnover on firm financial risk. (2025). Choi, Daewoung ; Gam, Yong Kyu ; Kang, Min Jung ; Shin, Hojong. In: The British Accounting Review. RePEc:eee:bracre:v:57:y:2025:i:4:s0890838924001124.

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2024Information transfer of CEO turnover: Evidence from firm-CEO mismatch. (2024). Seavey, Scott E ; Desir, Rosemond ; Thevenot, Maya. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992300158x.

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2025Time-varying risk aversion and international stock returns. (2025). Hansen, Erwin ; Guidolin, Massimo ; Cabrera, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001967.

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2024Persistent and transient variance components in option pricing models with variance-dependent Kernel. (2024). Ghanbari, Hamed. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000665.

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2025Top management team stability and stock price crash risk: Evidence from China. (2025). Chen, Hongce ; Chan, Kam C ; Peng, Zhenge ; Deng, Bofu. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925002133.

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2024Risks of heterogeneously persistent higher moments. (2024). Baruník, Jozef ; Kurka, Josef ; Barunk, Jozef. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005052.

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2025Which corporate leaders matter to financial markets?. (2025). Philipps, Collin S ; Ratliff, David J. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007129.

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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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2024Volatility feedback and dealership position: Evidence from the CDS Index, Corporate Bonds, and Government Bonds. (2024). Chen, Steven Shu-Hsiu. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012054.

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2025Coarse pricing in QE auctions. (2025). Tsujimoto, Yusuke. In: Journal of Financial Markets. RePEc:eee:finmar:v:73:y:2025:i:c:s1386418124000776.

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2025The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX. (2025). Ioan, Roxana ; Dima, Tefana Maria. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001501.

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2025Other comprehensive income volatility and bank risk. (2025). Zhang, Junrui ; Su, Yang ; Zhou, Mingming ; Zhao, Hong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000058.

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2024Uncertainty premia for small and large risks. (2024). Savor, Pavel ; Wilson, Mungo ; Puhl, Martin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:167:y:2024:i:c:s0378426624001675.

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2025Stochastic arbitrage with market index options. (2025). Beare, Brendan ; Zheng, Zhongxi ; Seo, Juwon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:173:y:2025:i:c:s0378426625000160.

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2025Conditional risk and the pricing kernel. (2025). Sichert, Tobias ; Schreindorfer, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:171:y:2025:i:c:s0304405x2500114x.

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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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2024Asymmetry in option implied volatility and yield: Evidence from Chinas ETF options market11Xiaoyijing Chen, PhD candidate. Research Interests: option pricing, financial derivatives. Siyuan Liu, masters student. Research Interests: option pricing, volatility model.Zailin Xu, PhD candidate. Research Interests: capital market, volatility model. Mei Yu, PhD, Professor, Doctoral Supervisor. Research Interests: capital market, risk management.,22Funding: This work was supported by “National Natural Science Foundation of China” (Grant number: 72073027); “National Natural Science Foundation of China” (Grant number: 72071046); “the Fundamental Research Funds for the Central Universities” in UIBE (Grant number: ZD6–01).. (2024). Xu, Zailin ; Chen, Xiaoyijing ; Liu, Siyuan ; Yu, Mei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24001379.

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2025Impacts of pandemic shocks on Chinas financial options volatility: Evidence from COVID-19 crisis. (2025). Qin, Qilin ; Meng, Jingjing ; Yu, Mei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:92:y:2025:i:c:s0927538x25001118.

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2025Risk premia-return spillovers among commodity-U.S. equity markets. (2025). Finta, Marinela Adriana. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s1059056025003326.

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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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2024Competence enhancement from interactive learning: Does attending conferences affect CEO turnover?. (2024). Wang, Yanyan ; He, Xubiao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004143.

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2025An information-theoretic asset pricing model. (2025). Ghosh, Anisha ; Taylor, Alex P ; Julliard, Christian. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126155.

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2025Analysing Market Volatility and Economic Policy Uncertainty of South Africa with BRIC and the USA During COVID-19. (2025). Ramakau, Thokozane ; Mokatsanyane, Daniel ; Ferreira-Schenk, Sune ; Matlhaku, Kago. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:7:p:400-:d:1705333.

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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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2024Portfolio Allocation with Dynamic Risk Preferences via Reinforcement Learning. (2024). Lin, Shih-Kuei ; Liao, Szu-Lang ; Kuang, Xian-Ji ; Chen, Ting-Fu. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:4:d:10.1007_s10614-023-10509-w.

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2024Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle. (2024). Sibbertsen, Philipp ; Schroen, Sebastian ; Dierkes, Maik ; Krupski, Jan. 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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2024An efficient unified approach for spread option pricing in a copula market model. (2024). Mercuri, Lorenzo ; Berton, Edoardo. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05549-2.

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2025Investigating the spillover effect of implied volatility on nifty return in different time periods with reference to index options: a multivariate GARCH approach. (2025). Sharma, Preeti ; Sahay, Namita ; Mishra, Bhakti Bhushan. In: International Journal of System Assurance Engineering and Management. RePEc:spr:ijsaem:v:16:y:2025:i:6:d:10.1007_s13198-025-02711-w.

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2025Horizon effects in the pricing kernel: How investors price short-term versus long-term risks. (2025). Driessen, Joost ; Koter, Joren ; Wilms, Ole. In: Other publications TiSEM. RePEc:tiu:tiutis:18d19e20-6d30-4828-9a8e-940a54b55924.

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2024International evidence of the forecasting ability of option‐implied distributions. (2024). Vich, Magdalena M ; Vaellosebastia, Antoni ; Serrano, Pedro. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1447-1464.

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2025Global Risk Aversion: Driving Force of Future Real Economic Activity. (2025). Cho, Hoon ; Kim, Jinhwan ; Ryu, Doojin. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:706-729.

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2025Spread Option Pricing Method Based on Nonparametric Predictive Inference Copula. (2025). He, Ting. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:5:p:1755-1766.

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2025Illuminating the Pricing Kernels: Short‐Term and Long‐Term Index Option Returns. (2025). Li, Bingxin ; Ou, Fangzheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1795-1817.

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2025Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion. (2025). Guo, Fenglong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:1:p:47-76.

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Works by Joshua Rosenberg:

YearTitleTypeCited
2002Empirical pricing kernels In: Journal of Financial Economics.
[Full Text][Citation analysis]		article295
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: 295		paper
2006A general approach to integrated risk management with skewed, fat-tailed risks In: Journal of Financial Economics.
[Full Text][Citation analysis]		article138
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: 138		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]		article13
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]		paper34
2003The impact of CEO turnover on equity volatility In: Staff Reports.
[Full Text][Citation analysis]		paper75
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: 75		article
2006Stock returns and volatility: pricing the short-run and long-run components of market risk In: Staff Reports.
[Full Text][Citation analysis]		paper194
2006Price discovery in the foreign currency futures and spot market In: Staff Reports.
[Full Text][Citation analysis]		paper13
2007How do treasury dealers manage their positions? In: Staff Reports.
[Full Text][Citation analysis]		paper19
2007The effect of employee stock options on bank investment choice, borrowing, and capital In: Staff Reports.
[Full Text][Citation analysis]		paper21
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]		paper25
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]		paper9

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