Joshua V. Rosenberg

Federal Reserve Bank of New York

Research Officer

33 Liberty Street

New York, NY 10045

United States

http://www.ny.frb.org/research/economists/rosenberg/index.html

SCHOLARLY PAPERS

22

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8,812

CITATIONS
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SSRN RANKINGS

Top 1,326

in Total Papers Citations

299

Scholarly Papers (22)

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

FRB of New York Staff Report No. 185
Number of pages: 58 Posted: 14 May 2004
Joshua V. Rosenberg and Til Schuermann
Federal Reserve Bank of New York and Oliver Wyman
Downloads 958 (22,311)
Citation 75

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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
Federal Reserve Bank of New York and Oliver Wyman
Downloads 851 (26,506)

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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 Federal Reserve Bank of New York
Downloads 1,142 (17,488)
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 Federal Reserve Bank of New York
Downloads 1,027 (20,459)
Citation 117

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asset pricing, stochastic volatility, cross section of returns

4.
Downloads 920 ( 24,088)
Citation 36

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
Federal Reserve Bank of New York, University of Virginia - McIntire School of Commerce and University of Texas at Austin - Department of Finance
Downloads 410 (69,138)
Citation 37

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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 Federal Reserve Bank of New York
Downloads 289 (103,157)
Citation 10

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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 Federal Reserve Bank of New York
Downloads 221 (136,086)

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The Impact of CEO Turnover on Equity Volatility

Journal of Business, Forthcoming
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 Federal Reserve Bank of New York

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CEO Turnover, Volatility

5.
Downloads 660 ( 38,135)
Citation 1

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
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 610 (41,754)
Citation 1

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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: 06 Oct 2010
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 50 (390,145)

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6.

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 Federal Reserve Bank of New York
Downloads 500 (54,672)
Citation 34

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

Nonparametric Pricing of Multivariate Contingent Claims

FRB New York Working Paper No. 162
Number of pages: 40 Posted: 06 May 2003
Joshua V. Rosenberg
Federal Reserve Bank of New York
Downloads 347 (84,168)
Citation 16

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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
Federal Reserve Bank of New York
Downloads 153 (190,375)
Citation 7

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Nonparametric Pricing of Multivariate Contingent Claims

Journal of Derivatives, Vol. 10, No. 3, Spring 2003
Posted: 06 May 2003
Joshua V. Rosenberg
Federal Reserve Bank of New York

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8.

The Information Content of FOMC Minutes

Number of pages: 53 Posted: 08 Aug 2006
Ellyn Boukus and Joshua V. Rosenberg
Yale University and Federal Reserve Bank of New York
Downloads 489 (56,229)
Citation 33

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

9.
Downloads 407 ( 70,454)
Citation 16

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 Federal Reserve Bank of New York
Downloads 209 (143,685)
Citation 8

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

How Do Treasury Dealers Manage Their Positions?

FRB of New York Staff Report No. 299
Number of pages: 48 Posted: 13 Sep 2007 Last Revised: 10 Jun 2010
Michael J. Fleming and Joshua V. Rosenberg
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 198 (151,217)
Citation 15

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treasury market, dealer, positions, inventory, hedging, issuance

10.

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
Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 298 (100,273)
Citation 7

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term structure, recession forecasting, term premium, term spread

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 - Leonard N. Stern School of Business - Department of Economics and Federal Reserve Bank of New York
Downloads 232 (129,687)
Citation 12

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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 - Leonard N. Stern School of Business - Department of Economics and Federal Reserve Bank of New York
Downloads 64 (345,578)

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12.

Implied Volatility Functions: A Reprise

NYU Working Paper No. FIN-99-027
Number of pages: 21 Posted: 07 Nov 2008
Joshua V. Rosenberg
Federal Reserve Bank of New York
Downloads 201 (149,287)
Citation 5

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13.
Downloads 152 (191,083)
Citation 116

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
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 72 (323,919)
Citation 1

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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
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 48 (397,352)

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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
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 32 (463,602)
Citation 196

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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
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics

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Pricing kernels, Risk aversion, Derivatives, Hedging

14.

Semiparametric Pricing of Multivariate Contingent Claims

NYU Working Paper No. FIN-99-028
Number of pages: 27 Posted: 07 Nov 2008
Joshua V. Rosenberg
Federal Reserve Bank of New York
Downloads 94 (272,711)
Citation 8

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Downloads 74 (315,534)
Citation 5

GARCH Gamma

NBER Working Paper No. w5128
Number of pages: 26 Posted: 15 Jul 2000 Last Revised: 30 Jul 2010
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 74 (318,905)
Citation 5

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GARCH Gamma

JOURNAL OF DERIVATIVES Vol 2 No 4
Posted: 10 Oct 1998
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics

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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
Federal Reserve Bank of New York
Downloads 67 (333,185)
Citation 9

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17.

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
Federal Reserve Bank of New York
Downloads 57 (361,343)

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18.

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: 29 Jul 2010
Joshua V. Rosenberg and Robert F. Engle
Federal Reserve Bank of New York and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 54 (370,771)

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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
Federal Reserve Bank of New York
Downloads 43 (408,184)

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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
Federal Reserve Bank of New York
Downloads 22 (503,939)

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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 Federal Reserve Bank of New York

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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
Federal Reserve Bank of New York and Lord Abbett

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