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: 2025-12-27    RAS profile: 2024-04-25    
   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)

Härdle, Wolfgang (12)

Patton, Andrew (12)

GUEGAN, Dominique (10)

Wu, Liuren (9)

van den Goorbergh, Rob (9)

Martin, Vance (7)

Chang, Chia-Lin (7)

Ielpo, Florian (7)

Girma, Sourafel (7)

Cites to:

Engle, Robert (22)

Hansen, Lars (20)

Bollerslev, Tim (14)

Jagannathan, Ravi (13)

Evans, Martin (11)

Singleton, Kenneth (11)

Ait-Sahalia, Yacine (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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team