Joshua Rosenberg

Joshua Rosenberg

Senior Vice President
Credit and Payments Risk Group
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045

Phone (212) 720-6317
joshua.rosenberg@ny.frb.org

Publications

Price Discovery in the Foreign Currency Futures and Spot Market
With Leah G. Traub
Journal of Derivatives, Vol. 17, No. 2, 2009, pp. 7-25.
See also ››
Previously circulated as Federal Reserve Bank of New York Staff Reports, No. 262, September 2007

Signal or Noise? Implications of the Term Premium for Recession Forecasting
With Samuel Maurer
Federal Reserve Bank of New York Economic Policy Review,July 2008 Volume 14, Number 1

Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk
With Tobias Adrian
Journal of Finance, Vol. 63, No. 6, 2008, pp. 2997-3030.
See also ››
Previously circulated as Federal Reserve Bank of New York Staff Reports, No. 254, September 2007

A General Approach to Integrated Risk Management With Skewed, Fat-tailed Risks
With Til Schuermann
Journal of Financial Economics,Vol. 79, No. 3, 2006, pp. 569-614
69 pages / 629 kb
See also ››
Previously circulated as Federal Reserve Bank of New York Staff Reports No. 185, May 2004

The Impact of CEO Turnover on Equity Volatility
With Matthew Clayton and Jay Hartzell
Journal of Business,2005, Vol. 78, No. 5, pp. 1779-1808
See also ››
Working paper version, Federal Reserve Bank of New York Staff Reports No. 166, April 2003

Nonparametric Pricing of Multivariate Contingent
Claims

Journal of Derivatives,Vol. 10, No. 3, 2003, pp. 9-26
See also ››
Working paper version, Federal Reserve Bank of New York Staff Reports No. 162, March 2003

Empirical pricing kernels
With Robert F. Engle
Journal of Financial Economics,Vol. 64, no. 3, 2002, pp. 341-372
See also ››
Working paper versionPDF
60 pages / 488 kb

Testing the volatility term structure using option hedging criteria
With Robert Engle
Journal of Derivatives,Vol. 8, No. 1, 2000, pp. 10-28

Implied volatility functions: a reprise
Journal of Derivatives,Vol. 7, No. 3, 2000, pp. 51-64

Innovations in derivatives education (book review)
Journal of Derivatives,Vol. 6, No. 4, 1999, pp. 94-97

Pricing multivariate contingent claims using estimated risk-neutral density functions
Journal of International Money and Finance,Vol. 17, No. 2, 1998, pp. 229 - 247

GARCH gamma
With Robert Engle
Journal of Derivatives,Vol. 2, No. 4, 1995, pp. 47-59
See also ››
Reprinted in Volatility: New Estimation Techniques for Pricing Derivatives, ed. Robert Jarrow, Risk Books, 1998, pp. 391-400

Risk modelling and small company stocks
Small Cap Stocks: Investment and Portfolio Strategies for the Institutional Investor,Robert Klein and Jess Lederman eds., Probus Publishing Co., 1993, pp. 281-294

Joshua Rosenberg's CVPDFThe views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.