Joshua V. Rosenberg

Independent

United States

SCHOLARLY PAPERS

22

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11,742

TOTAL CITATIONS
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Top 1,581

in Total Papers Citations

289

Scholarly Papers (22)

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1.

A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risk

Downloads 2,168 (15,614)
Citation 58

A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risk

Number of pages: 58 Posted: 14 May 2004
Joshua V. Rosenberg and Til Schuermann
Independent and Oliver Wyman
Downloads 1,184 (38,518)
Citation 57

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Market risk, credit risk, operational risk, risk diversification, copula

A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risk

Journal of Financial Economics, Forthcoming, FRB of New York Staff Report No. 185
Number of pages: 70 Posted: 10 Feb 2006
Joshua V. Rosenberg and Til Schuermann
Independent and Oliver Wyman
Downloads 984 (50,173)
Citation 1

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Market risk, credit risk, operational risk, risk diversification, copula

2.

The Impact of CEO Turnover on Firm Volatility

Number of pages: 40 Posted: 10 Jun 2000
Matthew J. Clayton, Jay C. Hartzell and Joshua V. Rosenberg
University of Virginia - McIntire School of Commerce, University of Texas at Austin - Department of Finance and Independent
Downloads 1,257 (35,837)
Citation 1

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Turnover, Volatility, CEO

3.

Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk

FRB of New York Staff Report No. 254
Number of pages: 47 Posted: 21 Jul 2006
Tobias Adrian and Joshua V. Rosenberg
International Monetary Fund and Independent
Downloads 1,190 (38,865)
Citation 52

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asset pricing, stochastic volatility, cross section of returns

4.

The Impact of CEO Turnover on Equity Volatility

Downloads 1,110 (43,043)
Citation 6

The Impact of CEO Turnover on Equity Volatility

FRB of NY Staff Report No. 166
Number of pages: 40 Posted: 27 Mar 2006
Joshua V. Rosenberg, Matthew J. Clayton and Jay C. Hartzell
Independent, University of Virginia - McIntire School of Commerce and University of Texas at Austin - Department of Finance
Downloads 528 (113,861)
Citation 5

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CEO turnover, volatility, event study

The Impact of CEO Turnover on Equity Volatility

NYU Working Paper No. FIN-00-014
Number of pages: 44 Posted: 03 Nov 2008
Matthew J. Clayton, Jay C. Hartzell and Joshua V. Rosenberg
University of Virginia - McIntire School of Commerce, University of Texas at Austin - Department of Finance and Independent
Downloads 331 (195,802)
Citation 1

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The Impact of CEO Turnover on Equity Volatility

NYU Working Paper No. FIN-00-002
Number of pages: 44 Posted: 03 Nov 2008
Matthew J. Clayton, Jay C. Hartzel and Joshua V. Rosenberg
University of Virginia - McIntire School of Commerce, affiliation not provided to SSRN and Independent
Downloads 251 (262,042)

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The Impact of CEO Turnover on Equity Volatility

Posted: 29 Jun 2004
Matthew J. Clayton, Jay C. Hartzell and Joshua V. Rosenberg
University of Virginia - McIntire School of Commerce, University of Texas at Austin - Department of Finance and Independent

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CEO Turnover, Volatility

5.

How Do Treasury Dealers Manage Their Positions?

Downloads 903 (57,442)
Citation 30

How Do Treasury Dealers Manage Their Positions?

FRB of New York Staff Report No. 299, Rev. March 2024
Number of pages: 79 Posted: 13 Sep 2007 Last Revised: 04 Sep 2024
Michael J. Fleming, Giang Nguyen and Joshua V. Rosenberg
Federal Reserve Bank of New York, Pennsylvania State University - Smeal College of Business and Independent
Downloads 569 (103,652)
Citation 10

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Treasury market, dealer, positions, inventory, hedging, issuance

How do Treasury Dealers Manage their Positions?

AFA 2008 New Orleans Meetings Paper
Number of pages: 40 Posted: 22 Mar 2007
Michael J. Fleming and Joshua V. Rosenberg
Federal Reserve Bank of New York and Independent
Downloads 334 (193,861)
Citation 20

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Treasury market, dealer, positions, inventory, hedging, issuance

6.

The Information Content of FOMC Minutes

Number of pages: 53 Posted: 08 Aug 2006
Ellyn Boukus and Joshua V. Rosenberg
Yale University and Independent
Downloads 903 (57,442)
Citation 73

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Monetary policy, minutes, transparency, Latent Semantic Analysis, computational linguistics

7.

Option Hedging Using Empirical Pricing Kernels

Downloads 747 (74,151)

Option Hedging Using Empirical Pricing Kernels

UCSD Economics Discussion Paper 97-20
Number of pages: 35 Posted: 21 Dec 1997
Joshua V. Rosenberg and Robert F. Engle
Independent and New York University (NYU) - Department of Finance
Downloads 654 (86,666)

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Option Hedging Using Empirical Pricing Kernels

NBER Working Paper No. w6222
Number of pages: 35 Posted: 16 Jul 2000 Last Revised: 11 Apr 2022
Joshua V. Rosenberg and Robert F. Engle
Independent and New York University (NYU) - Department of Finance
Downloads 93 (613,472)

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8.

Signal or Noise? Implications of the Term Premium for Recession Forecasting

Federal Reserve Bank of New York - Economic Policy Review, Vol. 14, No. 1, July 2008
Number of pages: 11 Posted: 06 Jun 2008 Last Revised: 31 Jul 2008
Joshua V. Rosenberg and Samuel Maurer
Independent and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 648 (88,929)
Citation 5

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term structure, recession forecasting, term premium, term spread

9.

The Effect of Employee Stock Options on Bank Investment Choice, Borrowing, and Capital

FRB of New York Staff Report No. 305
Number of pages: 35 Posted: 22 Oct 2007
Hamid Mehran and Joshua V. Rosenberg
Independent and Independent
Downloads 621 (93,923)
Citation 2

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CEO compensation, employee stock options, risk taking, banking firms, borrowing, bank capital

10.

Nonparametric Pricing of Multivariate Contingent Claims

Downloads 581 (102,276)
Citation 18

Nonparametric Pricing of Multivariate Contingent Claims

FRB New York Working Paper No. 162
Number of pages: 40 Posted: 06 May 2003
Joshua V. Rosenberg
Independent
Downloads 384 (166,140)
Citation 18

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Nonparametric Pricing of Multivariate Contingent Claims

NYU Working Paper No. FIN-00-001
Number of pages: 36 Posted: 03 Nov 2008
Joshua V. Rosenberg
Independent
Downloads 197 (331,851)

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Nonparametric Pricing of Multivariate Contingent Claims

Posted: 06 May 2003
Joshua V. Rosenberg
Independent

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11.

Testing the Volatility Term Structure Using Option Hedging Criteria

Downloads 415 (153,658)
Citation 1

Testing the Volatility Term Structure Using Option Hedging Criteria

NYU Working Paper No. FIN-98-031
Number of pages: 28 Posted: 07 Nov 2008
Robert F. Engle and Joshua V. Rosenberg
New York University (NYU) - Department of Finance and Independent
Downloads 308 (211,801)
Citation 1

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Testing the Volatility Term Structure Using Option Hedging Criteria

NYU Working Paper No. FIN-96-024
Number of pages: 38 Posted: 11 Nov 2008
Robert F. Engle and Joshua V. Rosenberg
New York University (NYU) - Department of Finance and Independent
Downloads 107 (555,756)

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12.

Empirical Pricing Kernels

Downloads 294 (224,369)
Citation 37

Empirical Pricing Kernels

NYU Working Paper No. FIN-98-030
Number of pages: 44 Posted: 07 Nov 2008
Joshua V. Rosenberg and Robert F. Engle
Independent and New York University (NYU) - Department of Finance
Downloads 134 (465,195)

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Empirical Pricing Kernels

NYU Working Paper No. FIN-99-014
Number of pages: 44 Posted: 07 Nov 2008
Joshua V. Rosenberg and Robert F. Engle
Independent and New York University (NYU) - Department of Finance
Downloads 107 (555,756)

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Empirical Pricing Kernels

NYU Working Paper No. S-DRP-99-01
Number of pages: 38 Posted: 07 Nov 2008
Joshua V. Rosenberg and Robert F. Engle
Independent and New York University (NYU) - Department of Finance
Downloads 53 (844,436)
Citation 37

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Empirical Pricing Kernels

Journal of Financial Economics, Vol. 64, No. 3, 2002
Posted: 02 Jun 2003
Joshua V. Rosenberg and Robert F. Engle
Independent and New York University (NYU) - Department of Finance

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Pricing kernels, Risk aversion, Derivatives, Hedging

13.

Implied Volatility Functions: A Reprise

NYU Working Paper No. FIN-99-027
Number of pages: 21 Posted: 07 Nov 2008
Joshua V. Rosenberg
Independent
Downloads 250 (264,874)

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14.

GARCH Gamma

Downloads 141 (445,096)

GARCH Gamma

NBER Working Paper No. w5128
Number of pages: 26 Posted: 15 Jul 2000 Last Revised: 08 Jul 2022
Joshua V. Rosenberg and Robert F. Engle
Independent and New York University (NYU) - Department of Finance
Downloads 141 (445,917)

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GARCH Gamma

JOURNAL OF DERIVATIVES Vol 2 No 4
Posted: 10 Oct 1998
Joshua V. Rosenberg and Robert F. Engle
Independent and New York University (NYU) - Department of Finance

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15.

Semiparametric Pricing of Multivariate Contingent Claims

NYU Working Paper No. FIN-99-028
Number of pages: 27 Posted: 07 Nov 2008
Joshua V. Rosenberg
Independent
Downloads 137 (455,503)

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16.

Pricing Multivariate Contingent Claims Using Estimated Risk-Neutral Density Functions

NYU Working Paper No. FIN-98-057
Number of pages: 23 Posted: 11 Nov 2008
Joshua V. Rosenberg
Independent
Downloads 102 (571,165)
Citation 6

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17.

Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models

NBER Working Paper No. w4958
Number of pages: 36 Posted: 05 Sep 2000 Last Revised: 21 Jul 2022
Joshua V. Rosenberg and Robert F. Engle
Independent and New York University (NYU) - Department of Finance
Downloads 93 (607,032)

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18.

Empirical Tests of Interest Rate Model Pricing Kernels

NYU Working Paper No. FIN-99-015
Number of pages: 33 Posted: 07 Nov 2008
Joshua V. Rosenberg
Independent
Downloads 76 (684,889)

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19.

Asset Pricing Puzzles: Evidence from Options Markets

NYU Working Paper No. FIN-99-025
Number of pages: 51 Posted: 07 Nov 2008
Joshua V. Rosenberg
Independent
Downloads 70 (716,958)

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20.

Option-Based Tests of Interest Rate Diffusion Functions

NYU Working Paper No. FIN-99-026
Number of pages: 20 Posted: 07 Nov 2008
Joshua V. Rosenberg
Independent
Downloads 36 (977,133)

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21.

The Term Asset-Backed Securities Lending Facility

Posted: 18 Mar 2009
Adam B. Ashcraft, Allan Malz and Joshua V. Rosenberg
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Independent

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22.

Price Discovery in the Foreign Currency Futures and Spot Market

https://doi.org/10.3905/JOD.2009.17.2.007, FRB of New York Staff Report No. 262
Posted: 08 Aug 2006
Joshua V. Rosenberg and Leah Goldman Traub
Independent and Lord Abbett

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price discovery, exchange rates, order flow, futures, microstructure, foreign exchange