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Current Postgraduate Research Students

Marwan Izzeldin supervises 4 postgraduate research students. If these students have produced research profiles, these are listed below:

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Professor Marwan Izzeldin

Professor of Financial Econometrics, Director

Marwan Izzeldin

Lancaster University

The Management School



Office Hours:

Tuesday 4-5

Current Research

My research interest is in the area of modelling and forecasting volatility using high frequency data. High frequency data are recorded at ‘fine’ intervals of time: milliseconds, and seconds. Hence they can provide us with a closer look at the dynamics and the evolution of the price process and its components (i.e. continuous and discontinuous). My research in this area addresses several topics, including that of quantifying the information arrival process to markets. This research is important in that it provides better understanding as to how markets respond to various intensity levels of information, not least during crisis episodes. Current research interest include the use of different types of jumps and classifications in forecasting, mixed sampling frequency modelling and data compression and machine learning.

I have also research interests in Banking / Islamic banking. Here, my research contrasts the respective business models of Islamic and conventional banks. In taking a variety of perspectives, my work identifies characteristics that explain the observed resilience of Islamic banking following the (2008) financial crisis. My research on efficiency and productivity extends beyond the comparison of Islamic and conventional banking models. Most, recently I have been looking at novel ways in measuring productivity and efficiency using Bayesian methods.




BSc (University of Khartoum), MA Economics (University College Dublin), PhD in Finance (City University, Cass Business School)

Research Interests

 Volatility Modelling and Forecasting, Measuring Dependency, Bootstrap Methods, Islamic Finance.

Current Teaching

Economics 213: Quantative Methods for Business Economics.

Economics 403: Applied Econometrics.

Economics 420: Dissertation Module (Time Series Econometrics).

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