Roman Kozhan : Citation Profile


Are you Roman Kozhan?

University of Warwick

6

H index

4

i10 index

146

Citations

RESEARCH PRODUCTION:

10

Articles

4

Papers

RESEARCH ACTIVITY:

   8 years (2006 - 2014). See details.
   Cites by year: 18
   Journals where Roman Kozhan has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 2 (1.35 %)

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   Permalink: http://citec.repec.org/pko674
   Updated: 2020-10-24    RAS profile: 2014-08-20    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Roman Kozhan.

Is cited by:

Feunou, Bruno (4)

Moinas, Sophie (4)

Alexander, Carol (4)

Foucault, Thierry (3)

Daures Lescourret, Laurence (3)

Dionne, Georges (3)

Gradojevic, Nikola (3)

LINTON, OLIVER (2)

Caraballo, M. Angeles (2)

Lee, Kyungsub (2)

darolles, serge (2)

Cites to:

Schmeidler, David (15)

Sarno, Lucio (9)

Rime, Dagfinn (8)

Gambacorta, Leonardo (7)

Ehrmann, Michael (7)

Lyons, Richard (7)

SEVESTRE, Patrick (5)

Stephan, Andreas (5)

Dow, James (5)

Evans, Martin (5)

Gilboa, Itzhak (5)

Main data


Where Roman Kozhan has published?


Recent works citing Roman Kozhan (2020 and 2019)


YearTitle of citing document
2020Limits to Arbitrage in Markets with Stochastic Settlement Latency. (2018). Hautsch, Nikolaus ; Voigt, Stefan ; Scheuch, Christoph. In: Papers. RePEc:arx:papers:1812.00595.

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2019Performance of tail hedged portfolio with third moment variation swap. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05105.

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2020Neural Networks and Value at Risk. (2020). Weisheit, Stefan ; Klawunn, Michael ; Hoepner, Andreas ; Borth, Damian ; Arimond, Alexander. In: Papers. RePEc:arx:papers:2005.01686.

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2020Tail-risk protection: Machine Learning meets modern Econometrics. (2020). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2010.03315.

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2019The information content of the implied volatility term structure on future returns. (2019). Yen, Kuangchieh ; Wang, Yawhuei. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:380-406.

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2019Strategic Speed Choice by High-Frequency Traders under Speed Bumps. (2019). Aoyagi, Jun. In: ISER Discussion Paper. RePEc:dpr:wpaper:1050.

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2019Competition among high-frequency traders, and market quality. (2019). Breckenfelder, Johannes. In: Working Paper Series. RePEc:ecb:ecbwps:20192290.

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2020A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage. (2020). Gradojevic, Nikola ; Genay, Ramazan ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:57-73.

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2020Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:312-334.

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2019Information content of the limit order book for crude oil futures price volatility. (2019). Duong, Huu Nhan ; Tian, Xiao ; Kalev, Petko S. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:584-597.

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2019Moment spreads in the energy market. (2019). Zhang, Jin E ; Ruan, Xinfeng. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:598-609.

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2019Skewness risk premium: Theory and empirical evidence. (2019). Wolff, Christian ; Lin, Yuehao ; Lehnert, Thorsten. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:174-185.

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2020Arbitrage detection using max plus product iteration on foreign exchange rate graphs. (2020). Taylor, Stephen ; Cui, Zhenyu. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319304362.

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2020Risk premium spillovers among stock markets: Evidence from higher-order moments. (2020). Aboura, Sofiane ; Finta, Marinela Adriana. In: Journal of Financial Markets. RePEc:eee:finmar:v:49:y:2020:i:c:s1386418120300021.

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2019The information content of forward moments. (2019). Taamouti, Abderrahim ; Kagkadis, Anastasios ; Andreou, Panayiotis C ; Philip, Dennis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:527-541.

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2020Moment risk premia and the cross-section of stock returns in the European stock market. (2020). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s037842661930305x.

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2020The conditional expected market return. (2020). Loudis, Johnathan ; Chabi-Yo, Fousseni. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:752-786.

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2019Carry trades, agent heterogeneity and the exchange rate. (2019). Tong, Bin ; Zhou, Chun-Yang ; Li, Xiao-Ping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:343-358.

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2020Downside uncertainty shocks in the oil and gold markets. (2020). Xu, Yahua ; Byun, Suk Joon ; Roh, Tai-Yong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:291-307.

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2020The fair value of a token: How do markets price cryptocurrencies?. (2020). Guo, Yike ; Nadler, Philip. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919300601.

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2020High-frequency trading and stock liquidity: An intraday analysis. (2020). Ghadhab, Imen ; Hellara, Slaheddine ; ben Ammar, Imen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919309249.

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2020Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets. (2020). Soegner, Leopold ; Reynolds, Julia ; Wagner, Martin. In: IHS Working Paper Series. RePEc:ihs:ihswps:17.

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2019Good and Bad Variance Premia and Expected Returns. (2019). Shaliastovich, Ivan ; Kilic, Mete . In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:6:p:2522-2544.

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2019On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review. (2019). Venegas-Martínez, Francisco ; Venegas-Martinez, Francisco ; Carbajal-De, Carolina. In: Panorama Económico. RePEc:ipn:panora:v:15:y:2019:i:29:p:7-38.

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2019Technical Trading Behaviour: Evidence from Chinese Rebar Futures Market. (2019). Liu, Guanqing . In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9851-4.

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2019Option-implied Value-at-Risk and the cross-section of stock returns. (2019). Feser, Alexander ; Ammann, Manuel. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:3:d:10.1007_s11147-019-09154-z.

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2020Execution Risk and Arbitrage Opportunities in the Foreign Exchange Markets. (2020). Takayasu, Hideki ; Yamada, Kenta ; Ito, Takatoshi. In: NBER Working Papers. RePEc:nbr:nberwo:26706.

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2020.

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2019Does Social Health Insurance Help Owners of Micro- and Small Firms Cope with Family Hardships? Evidence from Indonesia. (2019). Parinduri, Rasyad ; Lee, Yoong Hon ; Lau, Siew Yee. In: MPRA Paper. RePEc:pra:mprapa:95295.

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2019Asymptotic properties of the realized skewness and related statistics. (2019). Koike, Yuta ; Liu, Zhi. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:71:y:2019:i:4:d:10.1007_s10463-018-0659-8.

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2020Portfolio allocation problems between risky and ambiguous assets. (2020). Osaki, Yusuke ; Asano, Takao. In: Annals of Operations Research. RePEc:spr:annopr:v:284:y:2020:i:1:d:10.1007_s10479-019-03206-1.

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2019A Maxmin Approach for the Equilibria of Vector-Valued Games. (2019). Caraballo, M. Angeles ; Monroy, L ; Marmol, A M ; Zapata, A. In: Group Decision and Negotiation. RePEc:spr:grdene:v:28:y:2019:i:2:d:10.1007_s10726-018-9608-4.

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2019Robust Estimation of Risk-Neutral Moments. (2019). Feser, Alexander ; Ammann, Manuel. In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:02.

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2019Variance and skew risk premiums for the volatility market: The VIX evidence. (2019). Xu, Yahua ; da Fonseca, Jose. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:3:p:302-321.

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2019Robust estimation of risk‐neutral moments. (2019). Feser, Alexander ; Ammann, Manuel. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1137-1166.

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2019Ultra-fast activity and intraday market quality. (2019). Tapia, Mikel ; Penalva, Jose ; Payne, Richard ; Cartea, Alvaro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:157-181.

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2019Algorithmic and high frequency trading in Asia-Pacific, now and the future. (2019). Kalev, Petko S ; Zhou, Hao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:186-207.

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Works by Roman Kozhan:


YearTitleTypeCited
2010Spurious Regressions of Stationary AR(p) Processes with Structural Breaks In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2014Toxic Arbitrage In: CEPR Discussion Papers.
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paper24
2009Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation In: Journal of Economic Dynamics and Control.
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article9
2009Asset allocation with distorted beliefs and transaction costs In: European Journal of Operational Research.
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article3
2012The information content of a limit order book: The case of an FX market In: Journal of Financial Markets.
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article11
2006Firms investment under financing constraints. An euro area investigation In: CERS-IE WORKING PAPERS.
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paper0
2012Execution Risk in High-Frequency Arbitrage In: Management Science.
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article21
2010Asymmetric Momentum Effects Under Uncertainty In: Review of Finance.
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article7
2013The Skew Risk Premium in the Equity Index Market In: Review of Financial Studies.
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article60
2008Nash equilibria for games in capacities In: Economic Theory.
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article3
2011Non-additive anonymous games In: International Journal of Game Theory.
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article0
2009Firms investment under financial constraints: a euro area investigation In: Applied Financial Economics.
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article4
2014Optimal Security Design under Asymmetric Information and Profit Manipulation In: The Warwick Economics Research Paper Series (TWERPS).
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paper1
2006Multiple Priors And No-Transaction Region In: Working Paper Series.
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paper2

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