Paunovic, who led Oviedo to promotion last season, was sacked and replaced by Lucas Carrion on Friday.
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There's been claims Cazorla, 40, was behind the dismissal - something he now rejects.
He posted to social media: "I don't know who I think most sin for – those who invent things about me or those who believe it."
Oviedo currently sit in 17th place on the LaLiga table.
