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Roman Kozhan · Study
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Author
Roman Kozhan
8 works
· latest 2018
· 2 institutions
cluster: provisional
ORCID 0000-0003-4512-2602
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Citations
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Most cited in this library
The Skew Risk Premium in the Equity Index Market
2013 · 228 citations
Toxic Arbitrage
2016 · 186 citations
Execution Risk in High-Frequency Arbitrage
2012 · 73 citations
Short Selling and Price Discovery in Corporate Bonds
2018 · 57 citations
The information content of a limit order book: The case of an FX market
2011 · 48 citations
Works
8 shown
Short Selling and Price Discovery in Corporate Bonds
Journal of Financial and Quantitative Analysis
·
2018
·
3 authors
·
Open access
57
citations
Toxic Arbitrage
Review of Financial Studies
·
2016
·
3 authors
·
Open access
186
citations
The Cross-Section of Currency Volatility Premia
Journal of Financial Economics
·
2016
·
3 authors
·
Open access
29
citations
The Skew Risk Premium in the Equity Index Market
Review of Financial Studies
·
2013
·
3 authors
228
citations
Execution Risk in High-Frequency Arbitrage
Management Science
·
2012
·
2 authors
·
Open access
73
citations
The information content of a limit order book: The case of an FX market
Journal of Financial Markets
·
2011
·
2 authors
48
citations
Asymmetric Momentum Effects Under Uncertainty
European Finance Review
·
2010
·
3 authors
30
citations
Financial econometrics - with Eviews
University of Warwick
·
2009
·
1 author
·
book
·
Open access
25
citations