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Information about:
Joshua Rosenberg

Personal Details | Affiliation | Works
This is information that was supplied by Joshua Rosenberg in registering through RePEc. If you are Joshua Rosenberg , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Joshua
Middle Name:
Last Name: Rosenberg
Suffix:

RePEc Short-ID: pro389

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

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Michael J. Fleming & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York. [Downloadable!]

  2. Hamid Mehran & Joshua Rosenberg, 2007. "The effect of employee stock options on bank investment choice, borrowing, and capital," Staff Reports 305, Federal Reserve Bank of New York. [Downloadable!]

  3. 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. [Downloadable!]

  4. Tobias Adrian & Joshua 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. [Downloadable!]
    Published as:

  5. 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. [Downloadable!]
    Published as:

  6. 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. [Downloadable!]
    Published as:

  7. Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York. [Downloadable!]

  8. 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-. [Downloadable!]

  9. 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-. [Downloadable!]
    Published as:

  10. 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-. [Downloadable!]

  11. 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-. [Downloadable!]

  12. 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-. [Downloadable!]

  13. 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-. [Downloadable!]

  14. Robert F. Engle & Joshua Rosenberg, 1998. "Testing the Volatility Term Structure using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-031, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    Other versions:

  15. Joshua V. Rosenberg & Robert F. Engle, 1997. "Option Hedging Using Empirical Pricing Kernels," NBER Working Papers 6222, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

  16. 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-.
    Other versions:
    Published as:

  17. Robert F. Engle & Joshua Rosenberg, 1995. "Testing the Term Structure of Stochastic Volatility Models Using Option Hedging Performance Criteria," University of California at San Diego, Economics Working Paper Series 94-25r, Department of Economics, UC San Diego.

  18. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

  19. 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. [Downloadable!] (restricted)

Articles

  1. 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. [Downloadable!] (restricted)
    Other versions:

  2. Matthew C. Clayton & Jay C. Hartzell & Joshua Rosenberg, 2005. "The Impact of CEO Turnover on Equity Volatility," Journal of Business, University of Chicago Press, vol. 78(5), pages 1779-1808, September. [Downloadable!]
    Other versions:

  3. Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, vol. 64(3), pages 341-372, June. [Downloadable!] (restricted)
    Other versions:

  4. 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. [Downloadable!] (restricted)
    Other versions:

NEP Fields

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2007-11-10
  2. NEP-CMP: Computational Economics (1) 2003-05-08
  3. NEP-ETS: Econometric Time Series (1) 2006-08-05
  4. NEP-FIN: Finance (1) 2004-08-09
  5. NEP-FMK: Financial Markets (3) 2006-08-05 2006-10-14 2007-09-09 Author is listed
  6. NEP-IFN: International Finance (1) 2006-10-14
  7. NEP-MIC: Microeconomics (1) 2003-05-13
  8. NEP-MST: Market Microstructure (1) 2006-10-14
  9. NEP-RMG: Risk Management (3) 2003-05-08 2004-08-09 2006-08-05 Author is listed
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This page was last updated on 2009-11-14.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.