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Joshua Rosenberg

Personal Details

First Name:Joshua
Middle Name:
Last Name:Rosenberg
Suffix:
RePEc Short-ID:pro389
[This author has chosen not to make the email address public]
http://www.ny.frb.org/research/economists/rosenberg/index.html

Affiliation

Federal Reserve Bank of New York

New York City, New York (United States)
http://www.newyorkfed.org/
RePEc:edi:frbnyus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Joshua V. Rosenberg, 2022. "Things That Have Never Happened Before Happen All the Time," Speech 94974, Federal Reserve Bank of New York.
  2. Joshua V. Rosenberg, 2019. "Thrive in Any Environment: Strengthening Resilience Through Risk Management," Speech 334, Federal Reserve Bank of New York.
  3. Joshua V. Rosenberg, 2018. "Why do risk events occur? Insights from accident models: remarks at the 7th Annual Risk Americas 2018 Conference, New York City," Speech 285, Federal Reserve Bank of New York.
  4. Joshua V. Rosenberg, 2016. "Operational risk management at the Federal Reserve Bank of New York," Speech 195, Federal Reserve Bank of New York.
  5. Michael J. Fleming & Giang Nguyen & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
  6. Hamid Mehran & Joshua V. Rosenberg, 2007. "The effect of employee stock options on bank investment choice, borrowing, and capital," Staff Reports 305, Federal Reserve Bank of New York.
  7. Tobias Adrian & Joshua V. Rosenberg, 2006. "Stock returns and volatility: pricing the short-run and long-run components of market risk," Staff Reports 254, Federal Reserve Bank of New York.
  8. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
  9. Joshua V. Rosenberg & Til Schuermann, 2004. "A general approach to integrated risk management with skewed, fat-tailed risks," Staff Reports 185, Federal Reserve Bank of New York.
  10. Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York.
  11. Matthew J. Clayton & Jay C. Hartzell & Joshua V. Rosenberg, 2003. "The impact of CEO turnover on equity volatility," Staff Reports 166, Federal Reserve Bank of New York.
  12. Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-.
  13. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-.
  14. Joshua Rosenberg, 1999. "Semiparametric Pricing of Multivariate Contingent Claims," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-028, New York University, Leonard N. Stern School of Business-.
  15. Joshua Rosenberg, 1999. "Empirical Tests of Interest Rate Model Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-015, New York University, Leonard N. Stern School of Business-.
  16. Joshua Rosenberg, 1999. "Option-Based Tests of Interest Rate Diffusion Functions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-026, New York University, Leonard N. Stern School of Business-.
  17. Joshua Rosenberg, 1999. "Implied Volatility Functions: A Reprise," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-027, New York University, Leonard N. Stern School of Business-.
  18. Joshua V. Rosenberg & Robert F. Engle, 1997. "Option Hedging Using Empirical Pricing Kernels," NBER Working Papers 6222, National Bureau of Economic Research, Inc.
  19. Joshua Rosenberg, 1996. "Pricing Multivariate Contingent Claims Using Estimated Risk-neutral Density Functions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-36, New York University, Leonard N. Stern School of Business-.
  20. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.
  21. Robert F. Engle & Joshua Rosenberg, 1994. "Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models," NBER Working Papers 4958, National Bureau of Economic Research, Inc.
  22. Robert F. Engle & Joshua Rosenberg, 1966. "Testing the Volatility Term Structure Using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-24, New York University, Leonard N. Stern School of Business-.

Articles

  1. Samuel Maurer & Joshua V. Rosenberg, 2008. "Signal or noise? Implications of the term premium for recession forecasting," Economic Policy Review, Federal Reserve Bank of New York, vol. 14(Jul), pages 1-11.
  2. Rosenberg, Joshua V. & Schuermann, Til, 2006. "A general approach to integrated risk management with skewed, fat-tailed risks," Journal of Financial Economics, Elsevier, vol. 79(3), pages 569-614, March.
  3. Matthew C. Clayton & Jay C. Hartzell & Joshua Rosenberg, 2005. "The Impact of CEO Turnover on Equity Volatility," The Journal of Business, University of Chicago Press, vol. 78(5), pages 1779-1808, September.
  4. Tobias Adrian & Joshua V. Rosenberg, 2005. "Stock returns and volatility: pricing the long-run and short-run components of market risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  5. Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, vol. 64(3), pages 341-372, June.
  6. Rosenberg, Joshua V., 1998. "Pricing multivariate contingent claims using estimated risk-neutral density functions," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 229-247, April.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (7) 2003-05-08 2004-08-09 2006-08-05 2016-04-04 2018-06-11 2019-11-11 2022-11-21. Author is listed
  2. NEP-FMK: Financial Markets (3) 2006-08-05 2006-10-14 2007-09-09
  3. NEP-BAN: Banking (2) 2007-11-10 2022-11-21
  4. NEP-CMP: Computational Economics (1) 2003-05-08
  5. NEP-ETS: Econometric Time Series (1) 2006-08-05
  6. NEP-FIN: Finance (1) 2004-08-09
  7. NEP-IFN: International Finance (1) 2006-10-14
  8. NEP-MIC: Microeconomics (1) 2003-05-13
  9. NEP-MST: Market Microstructure (1) 2006-10-14

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