Joshua Rosenberg : Citation Profile

Federal Reserve Bank of New York

12

H index

13

i10 index

868

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: 21.    Total self citations: 12 (1.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pro389
   Updated: 2025-03-22    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)

Härdle, Wolfgang (12)

Patton, Andrew (12)

Zhou, Hao (12)

GUEGAN, Dominique (10)

Wu, Liuren (9)

van den Goorbergh, Rob (9)

Girma, Sourafel (7)

Martin, Vance (7)

Chang, Chia-Lin (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

Production by document typepaperarticle1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022052.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published196619671968196919701971197219731974197519761977197819791980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022010203040Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250255075Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120220100200300Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 12Most cited documents12345678910111213140200400Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution201308201309201310201311201312201401201402201403201404201405201406201407201408201409201410201411201412201501201502201503201504201505201506201507201508201509201510201511201512201601201602201603201604201605201606201607201608201609201610201611201612201701201702201703201704201705201706201707201708201709201710201711201712201801201802201803201804201805201806201807201808201809201810201811201812201901201902201903201904201905201906201907201908201909201910201911201912202001202002202003202004202005202006202007202008202009202010202011202012202101202102202103202104202105202106202107202108202109202110202111202112202201202202202203202204202205202206202207202208202209202210202211202212202301202302202303202304202305202306202307202308202309202310202311202312202401202402202403202404202405202406202407202408202409202410202411202412202501202502202503051015h-index Highcharts.comExport to raster or vector imagePrint the chart

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)

Year  ↓Title 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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2025Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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

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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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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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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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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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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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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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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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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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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:

Year  ↓Title  ↓Type  ↓Cited  ↓
2002Empirical pricing kernels In: Journal of Financial Economics.
[Full Text][Citation analysis]		article285
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: 285		paper
2006A general approach to integrated risk management with skewed, fat-tailed risks In: Journal of Financial Economics.
[Full Text][Citation analysis]		article135
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: 135		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]		paper31
2003The impact of CEO turnover on equity volatility In: Staff Reports.
[Full Text][Citation analysis]		paper71
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: 71		article
2006Stock returns and volatility: pricing the short-run and long-run components of market risk In: Staff Reports.
[Full Text][Citation analysis]		paper188
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]		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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