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Details about Joshua Rosenberg

E-mail:
Homepage:http://www.ny.frb.org/research/economists/rosenberg/index.html
Workplace:Federal Reserve Bank of New York, (more information at EDIRC)

Access statistics for papers by Joshua Rosenberg.

Last updated 2015-01-16. Update your information in the RePEc Author Service.

Short-id: pro389


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Working Papers

2019

  1. Thrive in Any Environment: Strengthening Resilience Through Risk Management
    Speech, Federal Reserve Bank of New York Downloads

2018

  1. Why do risk events occur? Insights from accident models: remarks at the 7th Annual Risk Americas 2018 Conference, New York City
    Speech, Federal Reserve Bank of New York Downloads

2016

  1. Operational risk management at the Federal Reserve Bank of New York
    Speech, Federal Reserve Bank of New York Downloads

2007

  1. How do treasury dealers manage their positions?
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (10)
  2. The effect of employee stock options on bank investment choice, borrowing, and capital
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (15)

2006

  1. Price discovery in the foreign currency futures and spot market
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (8)
  2. Stock returns and volatility: pricing the short-run and long-run components of market risk
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (48)

2004

  1. A general approach to integrated risk management with skewed, fat-tailed risks
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (19)
    See also Journal Article in Journal of Financial Economics (2006)

2003

  1. Nonparametric pricing of multivariate contingent claims
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (32)
  2. The impact of CEO turnover on equity volatility
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (6)
    See also Journal Article in The Journal of Business (2005)

2000

  1. Asset Pricing Puzzles: Evidence from Options Markets
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- Downloads View citations (3)
  2. Empirical Pricing Kernels
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- Downloads View citations (36)
    See also Journal Article in Journal of Financial Economics (2002)

1999

  1. Empirical Tests of Interest Rate Model Pricing Kernels
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- Downloads View citations (2)
  2. Implied Volatility Functions: A Reprise
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- Downloads View citations (18)
  3. Option-Based Tests of Interest Rate Diffusion Functions
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- Downloads
  4. Semiparametric Pricing of Multivariate Contingent Claims
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- Downloads View citations (20)

1998

  1. Testing the Volatility Term Structure using Option Hedging Criteria
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- Downloads View citations (13)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1966)

1997

  1. Option Hedging Using Empirical Pricing Kernels
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
  2. Pricing Multivariate Contingent Claims using Estimated Risk-neutral Density Functions
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1996) View citations (1)

    See also Journal Article in Journal of International Money and Finance (1998)

1995

  1. GARCH Gamma
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)

1994

  1. Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)

Journal Articles

2006

  1. A general approach to integrated risk management with skewed, fat-tailed risks
    Journal of Financial Economics, 2006, 79, (3), 569-614 Downloads View citations (97)
    See also Working Paper (2004)

2005

  1. The Impact of CEO Turnover on Equity Volatility
    The Journal of Business, 2005, 78, (5), 1779-1808 Downloads View citations (38)
    See also Working Paper (2003)

2002

  1. Empirical pricing kernels
    Journal of Financial Economics, 2002, 64, (3), 341-372 Downloads View citations (199)
    See also Working Paper (2000)

1998

  1. Pricing multivariate contingent claims using estimated risk-neutral density functions
    Journal of International Money and Finance, 1998, 17, (2), 229-247 Downloads View citations (20)
    See also Working Paper (1997)
 
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