| . |
Kozhan, Roman's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
8,409 |
Total
Citations
6 |
|
|
|
|
|
1.
|
|
|
Koufopoulos, Kostas
University of Warwick - Finance Group Kozhan, Roman
University of Warwick, Warwick Business School
|
| Posted: |
|
31 Dec 10
|
|
Last Revised:
|
|
01 May 12
|
|
3,781
(908)
|
1
|
|
| |
|
| |
Adverse Selection, Ambiguity Aversion, Endogenous Commitment
|
|
|
2.
|
|
|
Koufopoulos, Kostas
University of Warwick - Finance Group Kozhan, Roman
University of Warwick, Warwick Business School
|
|
1,096
(7,985)
|
|
|
| |
|
| |
ambiguity aversion, asymmetric information, value of ambiguous information
|
|
|
3.
|
|
|
Kozhan, Roman
University of Warwick, Warwick Business School Neuberger, Anthony
University of Warwick - Warwick Business School Schneider, Paul
University of Lugano - Institute of Finance
|
| Posted: |
|
18 Mar 10
|
|
Last Revised:
|
|
28 Nov 12
|
|
976
(9,661)
|
1
|
|
| |
|
| |
skew risk premium, variance risk premium, index options
|
|
|
4.
|
|
How Riskless is 'Riskless' Arbitrage?
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Kozhan, Roman
University of Warwick, Warwick Business School Tham, Wing Wah
Erasmus School of Economics - Econometric Institute
|
|
Posted:
|
|
24 Jan 10
|
|
Last Revised:
|
|
29 Mar 12
|
|
802
(13,077)
|
1
|
|
|
|
|
Kozhan, Roman
University of Warwick, Warwick Business School Tham, Wing Wah
Erasmus School of Economics - Econometric Institute
|
|
355
|
1
|
|
| |
|
| |
execution risk, limit to arbitrage, liquidity, high-frequency trading strategies
|
|
|
|
|
|
|
Kozhan, Roman
University of Warwick, Warwick Business School Tham, Wing Wah
Erasmus School of Economics - Econometric Institute
|
| Posted: |
|
24 Jan 10
|
|
Last Revised:
|
|
29 Mar 12
|
|
447
|
1
|
|
| |
|
| |
execution risk, limit to arbitrage, liquidity, inventory costs
|
|
|
|
|
|
5.
|
|
|
Kelsey, David
University of Exeter Business School - Department of Economics Kozhan, Roman
University of Warwick, Warwick Business School Pang, Wei
Kingston University
|
|
509
(24,984)
|
1
|
|
| |
|
| |
Momentum, Knightian Uncertainty, Asymmetric Response
|
|
|
6.
|
|
|
Kozhan, Roman
University of Warwick, Warwick Business School Salmon, Mark
University of Cambridge - Faculty of Economics and Politics
|
|
276
(53,053)
|
1
|
|
| |
|
| |
uncertainty aversion, exchange rate formation, agent-based modeling
|
|
|
7.
|
|
|
Kozhan, Roman
University of Warwick, Warwick Business School Salmon, Mark
University of Cambridge - Faculty of Economics and Politics
|
|
254
(58,183)
|
1
|
|
| |
|
| |
limit order book, profitability, high-frequency data
|
|
|
8.
|
|
|
Kozhan, Roman
University of Warwick, Warwick Business School Salmon, Mark
University of Cambridge - Faculty of Economics and Politics
|
|
211
(70,758)
|
|
|
| |
|
| |
Knightian uncertainty, market timing, predictability, high-frequency data
|
|
|
9.
|
|
|
Chu, Ba M.
Carleton University Kozhan, Roman
University of Warwick, Warwick Business School
|
|
176
(84,565)
|
|
|
| |
|
| |
Spurious Regression, Weak Dependence, Structural Breaks, Strictly Stationary, Autoregressive Processes
|
|
|
10.
|
|
|
Kozhan, Roman
University of Warwick, Warwick Business School
|
|
166
(89,301)
|
|
|
| |
|
| |
Anonymous Game, Uncertainty, Non-Additive Measure, Capacity
|
|
|
11.
|
|
|
Pal, Rozalia
European University Viadrina Frankfurt (Oder) Kozhan, Roman
University of Warwick, Warwick Business School
|
| Posted: |
|
01 Mar 09
|
|
Last Revised:
|
|
30 Dec 10
|
|
162
(91,336)
|
|
|
| |
|
| |
financing constraints, growth, investment, cash flow sensitivity
|
|
