Journal Article

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 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

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 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

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) 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

Conference Item

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

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 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 (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