Della Corte, Pasquale, Kozhan, Roman and Neuberger, Anthony (2020) The cross-section of currency volatility premia. Journal of Financial Economics . doi:10.1016/j.jfineco.2020.08.010 (In Press)

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

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

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

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

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 (Unpublished)

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

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

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

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

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 .

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

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

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

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. ISSN 0165-1889. doi:10.1016/j.jedc.2008.11.008

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

Kozhan, Roman (2009) Financial econometrics - with Eviews. Denmark: Ventus. ISBN 9788776814274

Pál, Rozália 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

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

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 Pál, Rozália (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 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

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-).