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Professor Marwan Izzeldin

Professor of Financial Econometrics, Director

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  1. Published

    A generalized heterogeneous autoregressive model using market information

    Hizmeri, R., Izzeldin, M., Nolte, I. & Pappas, V., 31/08/2022, In: Quantitative Finance. 22, 8, p. 1513-1534 22 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  2. Published

    Recovering the moments of information flow and normality of asset returns

    Izzeldin, M. & Murphy, A., 21/05/2010, In: Applied Financial Economics. 20, 10, p. 761-769 8 p.

    Research output: Contribution to Journal/Magazine › Journal article

  3. Published

    Trading volume and the number of trades: a comparative study using high frequency data

    Izzeldin, M., 2007, Lancaster University: The Department of Economics, 25 p. (Economics Working Paper Series; vol. 2007, no. 14).

    Research output: Working paper

  4. Published

    Bootstrapping the small sample critical values of the rescaled range statistic

    Izzeldin, M. & Murphy, A., 2000, In: Economic and Social Review. 31, 4, p. 351-359 9 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  5. Published

    Bootstrapping long memory tests: Some Monte Carlo results

    Izzeldin, M. & Murphy, A., 15/04/2009, In: Computational Statistics and Data Analysis. 53, 6, p. 2325-2334 10 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  6. E-pub ahead of print

    Multivariate stochastic volatility with large and moderate shocks

    Izzeldin, M., Tsionas, E. & Michaelides, P. G., 23/03/2019, (E-pub ahead of print) In: Journal of the Royal Statistical Society: Series A Statistics in Society.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  7. Published

    Forecasting Realised Volatility Using ARFIMA and HAR Models

    Izzeldin, M., Hassan, M. K., Pappas, V. & Tsionas, M., 1/10/2019, In: Quantitative Finance. 19, 10, p. 1627-1638 12 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  8. Published

    Efficiency convergence in Islamic and conventional banks

    Izzeldin, M., Johnes, J., Ongena, S., Pappas, V. & Tsionas, M., 1/01/2021, In: Journal of International Financial Markets, Institutions and Money. 70, 24 p., 101279.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  9. Published

    The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model

    Izzeldin, M., Muradoglu, G., Pappas, V. & Sivaprasad, S., 1/03/2021, In: International Review of Financial Analysis. 74, 12 p., 101671.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  10. Published

    The Impact of the Russian-Ukrainian War on Global Financial Markets

    Izzeldin, M., Muradoglu, G., Pappas, V., Petropoulou, A. & Sivaprasad, S., 31/05/2023, In: International Review of Financial Analysis. 87, 13 p., 102598.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

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