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Roman Kozhan
Roman Kozhan
Professor of Finance, University of Warwick
Verified email at wbs.ac.uk - Homepage
Title
Cited by
Cited by
Year
The skew risk premium in the equity index market
R Kozhan, A Neuberger, P Schneider
The Review of Financial Studies 26 (9), 2174-2203, 2013
566*2013
Toxic arbitrage
T Foucault, R Kozhan, WW Tham
The Review of Financial Studies 30 (4), 1053-1094, 2017
2152017
Financial Econometrics
R Kozhan
Bookboon, 2019
96*2019
Execution risk in high-frequency arbitrage
R Kozhan, WW Tham
Management Science 58 (11), 2131-2149, 2012
77*2012
The information content of a limit order book: The case of an FX market
R Kozhan, M Salmon
Journal of Financial Markets 15 (1), 1-28, 2012
612012
Asymmetric momentum effects under uncertainty
D Kelsey, R Kozhan, W Pang
Review of Finance 15 (3), 603-631, 2011
372011
Short selling and price discovery in corporate bonds
T Hendershott, R Kozhan, V Raman
Journal of Financial and Quantitative Analysis 55 (1), 77-115, 2020
292020
Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation
R Kozhan, M Salmon
Journal of Economic Dynamics and Control 33 (5), 1106-1122, 2009
272009
The cross-section of currency volatility premia
P Della Corte, R Kozhan, A Neuberger
Journal of Financial Economics 139 (3), 950-970, 2021
252021
Decentralized stablecoins and collateral risk
R Kozhan, G Viswanath-Natraj
WBS Finance Group Research Paper, 2021
232021
Firms' investment under financial constraints: a euro area investigation
R Pál, R Kozhan
Applied financial economics 19 (20), 1611-1624, 2009
21*2009
Welfare-improving ambiguity in insurance markets with asymmetric information
K Koufopoulos, R Kozhan
Journal of Economic Theory 151, 551-560, 2014
182014
Optimal insurance under adverse selection and ambiguity aversion
K Koufopoulos, R Kozhan
Economic theory 62, 659-687, 2016
172016
Asset allocation with distorted beliefs and transaction costs
R Kozhan, W Schmid
European Journal of Operational Research 194 (1), 236-249, 2009
172009
Optimal security design under asymmetric information and profit manipulation
K Koufopoulos, R Kozhan, G Trigilia
WBS Finance Group Research Paper, 2014
16*2014
Nash equilibria for games in capacities
R Kozhan, M Zarichnyi
Economic Theory 35, 321-331, 2008
142008
Market order flows, limit order flows and returns: Theory and evidence
R Kozhan, M Moore, R Payne
Limit Order Flows and Returns: Theory and Evidence (March 26, 2018), 2018
9*2018
am, WW (2017)
T Foucault, R Kozhan
Toxic arbitrage. e Review of Financial Studies 30 (4), 1053-1094, 0
9
On uncertainty, market timing and the predictability of tick by tick exchange rates
R Kozhan, M Salmon
WBS Finance Group Research Paper, 2008
7*2008
Non-additive anonymous games
R Kozhan
Warwick Business School, Financial Econometrics Research Centre, 2008
62008
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