The Library
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Number of items: 28.
Journal Article
Babiak, Mykola and Kozhan, Roman (2024) Parameter learning in production economies. Journal of Monetary Economics . 103555. doi:10.1016/j.jmoneco.2024.103555 ISSN 0304-3932. (In Press)
Menkveld, Albert J., Dreber, Anna, Holzmeister, Felix, Huber, Juergen, Johanneson, Magnus, Kirchler, Michael, NeusΓΌss, Sebastian, Razen, Michael, Weitzel, Utz, Abad, David et al.
(2023)
Non-standard errors.
The Journal of Finance
.
ISSN 0022-1082.
(In Press)
Della Corte, Pasquale, Kozhan, Roman and Neuberger, Anthony (2021) The cross-section of currency volatility premia. Journal of Financial Economics, 139 (3). pp. 950-970. doi:10.1016/j.jfineco.2020.08.010 ISSN 0304-405X.
Hendershott, Terrence, Kozhan, Roman and Raman, Vikas (2020) Short selling and price discovery in corporate bonds. Journal of Financial and Quantitative Analysis, 55 (1). pp. 77-115. doi:10.1017/S0022109018001539 ISSN 0022-1090.
Koufopoulos, Kostas, Kozhan, Roman and Trigilia, Giulio (2019) Optimal security design under asymmetric information and profit manipulation. Review of Corporate Finance Studies, 8 (1). pp. 146-173. doi:10.1093/rcfs/cfy008 ISSN 2046-9128.
Foucault, Thierry, Kozhan, Roman and Tham, Wing Wah (2017) Toxic arbitrage. The Review of Financial Studies, 30 (4). pp. 1053-1094. doi:10.1093/rfs/hhw103 ISSN 0893-9454.
Koufopoulos, Kostas and Kozhan, Roman (2016) Optimal insurance under adverse selection and ambiguity aversion. Economic Theory, 62 (4). pp. 659-687. doi:10.1007/s00199-015-0926-3 ISSN 0938-2259.
Koufopoulos, Kostas and Kozhan, Roman (2014) Welfare-improving ambiguity in insurance markets with asymmetric information. Journal of Economic Theory, Volume 151 . pp. 551-560. doi:10.1016/j.jet.2013.11.003 ISSN 0022-0531.
Kozhan, Roman, Neuberger, Anthony and Schneider, Paul (2013) The skew risk premium in the equity index market. Review of Financial Studies, Volume 26 (Number 9). pp. 2174-2203. doi:10.1093/rfs/hht039 ISSN 0893-9454.
Kozhan, Roman and Tham, W. W. (2012) Execution risk in high-frequency arbitrage. Management Science, Volume 58 (Number 11). pp. 2131-2149. doi:10.1287/mnsc.1120.1541 ISSN 0025-1909.
Kozhan, Roman and Salmon, Mark H. (2012) The information content of a limit order book : the case of an FX market. Journal of Financial Markets , Vol.15 (No.1). pp. 1-28. doi:10.1016/j.finmar.2011.07.002 ISSN 1386-4181.
Kelsey, David, Professor, Kozhan, Roman and Pang, Wei (2011) Asymmetric momentum effects under uncertainty. Review of Finance, Vol.15 (No.3). pp. 603-631. doi:10.1093/rof/rfq021 ISSN 1572-3097.
Chu, Ba M. and Kozhan, Roman (2011) Spurious regressions of stationary AR(p) processes with structural breaks. Studies in Nonlinear Dynamics & Econometrics, Vol.15 (No.1). doi:10.2202/1558-3708.1781 ISSN 1558-3708.
Kozhan, Roman (2011) Non-additive anonymous games. International Journal of Game Theory, Volume 40 (Number 2). pp. 215-230. doi:10.1007/s00182-010-0235-9 ISSN 0020-7276.
Kozhan, Roman and Schmid, Wolfgang (2009) Asset allocation with distorted beliefs and transaction costs. European Journal of Operational Research, Vol.194 (No.1). pp. 236-249. doi:10.1016/j.ejor.2007.12.002 ISSN 0377-2217.
PΓ‘l, RozΓ‘lia and Kozhan, Roman (2009) Firms' investment under financial constraints : a euro area investigation. Applied Financial Economics, Vol.19 (No.20). pp. 1611-1624. doi:10.1080/09603100802599605 ISSN 0960-3107.
Kozhan, Roman and Zarichnyi, Michael (2008) Nash equilibria for games in capacities. Economic Theory, Vol.35 (No.2). pp. 321-331. doi:10.1007/s00199-007-0241-8 ISSN 0938-2259.
Kozhan, Roman and Salmon, Mark H. (2008) Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation. Journal of Economic Dynamics and Control, Vol.33 (No.5). pp. 1106-1122. doi:10.1016/j.jedc.2008.11.008 ISSN 0165-1889.
Conference Item
Chaudhary, Amit, Kozhan, Roman and Viswanath-Natraj, Ganesh (2023) Interest rate rules in decentralized finance : evidence from compound. In: 4th International Conference on Blockchain Economics, Security and Protocols (Tokenomics 2022). Published in: Open Access Series in Informatics (OASIcs), 110 5:1-5:6. doi:10.4230/OASIcs.Tokenomics.2022.5
Kozhan, Roman and Viswanath-Natraj, Ganesh (2022) Fundamentals of the MakerDAO governance token. In: 3rd International Conference on Blockchain Economics, Security and Protocols (Tokenomics 2021), Virtual conference, 18β19 Nov 2021. Published in: 3rd International Conference on Blockchain Economics, Security and Protocols (Tokenomics 2021), 97 11:1-11:5. ISBN 9783959772204. doi:10.4230/OASIcs.Tokenomics.2021.11 ISSN 2190-6807.
Kozhan, Roman and Salmon, Mark (2009) Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation. In: Workshop on Complexity in Economics and Finance, Leiden, Netherlands, OCT 22-27, 2007. Published in: Journal of Economic Dynamics and Control, Vol.33 (No.5 Sp. Iss. SI). pp. 1106-1122. doi:10.1016/j.jedc.2008.11.008 ISSN 0165-1889.
Working or Discussion Paper
Koufopoulos, Kostas, Kozhan, Roman and Trigilia, Giulio (2014) Optimal security design under asymmetric information and profit manipulation. Working Paper. Coventry: University of Warwick. Department of Economics. Warwick economics research papers series (TWERPS), Volume 2014 (Number 1050). (Unpublished)
Kozhan, Roman, Neuberger, Anthony and Schneider, Paul (2011) Understanding the skew in option prices. Working Paper. United States: American Finance Association. AFA 2011 Denver Meetings Paper .
Kozhan, Roman and Salmon, Mark H. (2008) On uncertainty, market timing and the predictability of tick by tick exchange rates. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.08-).
Kozhan, Roman and PΓ‘l, RozΓ‘lia (2008) Firms' investment under financial constraints: a Euro area investigation. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.08-).
Kozhan, Roman (2008) Non-additive anonymous games. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.08-).
Kozhan, Roman (2006) Multiple priors and no-transaction region. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.06-).
Book
Kozhan, Roman (2009) Financial econometrics - with Eviews. Denmark: Ventus. ISBN 9788776814274
This list was generated on Thu Mar 28 22:34:09 2024 GMT.