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

DOWNLOADS
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Top 4,694

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9,028

SSRN CITATIONS
Rank 1,172

SSRN RANKINGS

Top 1,172

in Total Papers Citations

183

CROSSREF CITATIONS

690

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 966 (23,385)
Citation 48

Abstract:

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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 872 (27,114)
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 Federal Reserve Bank of New York
Downloads 1,154 (18,291)
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 1,046 (21,118)
Citation 41

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asset pricing, stochastic volatility, cross section of returns

4.
Downloads 932 ( 25,056)
Citation 8

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 415 (72,047)
Citation 2

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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 292 (107,589)

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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 225 (140,892)

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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

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 614 (43,887)

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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 54 (395,886)

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6.

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 523 (54,839)
Citation 45

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

7.

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 507 (56,886)
Citation 44

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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 350 (87,927)
Citation 11

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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 157 (195,971)

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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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9.
Downloads 426 ( 70,432)
Citation 18

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 218 (145,376)
Citation 14

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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 208 (152,014)
Citation 9

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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 326 (95,872)

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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 234 (135,565)
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 - Leonard N. Stern School of Business - Department of Economics and Federal Reserve Bank of New York
Downloads 66 (357,307)

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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 208 (152,268)

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13.
Downloads 160 (192,563)
Citation 186

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 75 (332,571)

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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 51 (406,483)

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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 34 (477,768)
Citation 24

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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 98 (279,203)

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15.
Downloads 78 (321,722)
Citation 1

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 78 (324,938)
Citation 1

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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 70 (342,031)
Citation 6

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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 61 (367,535)

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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 56 (383,135)

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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 46 (417,528)

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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 24 (518,163)

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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