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Research

Professor Marwan Izzeldin

Professor of Financial Econometrics, Director

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  1. Published

    Forecasting Using Alternative Measures of Model-Free Option-Implied Volatility

    Yao, X. & Izzeldin, M., 02/2018, In: Journal of Futures Markets. 38, 2, p. 199-218 20 p.

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

  2. Published

    Modelling systems with a mixture of I (d) and I (0) variables using the fractionally co-integrated VAR model

    Yao, X., Izzeldin, M. & Li, Z., 1/08/2019, In: Economics Letters. 181, p. 160-163 4 p.

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

  3. Published

    A novel cluster HAR-type model for forecasting realized volatility

    Yao, X., Izzeldin, M. & Li, Z., 1/10/2019, In: International Journal of Forecasting. 35, p. 1318-1331 14 p.

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

  4. Published

    A Novel Model of Costly Technical Efficiency

    Tsionas, M. & Izzeldin, M., 16/07/2018, In: European Journal of Operational Research. 268, 2, p. 653-664 12 p.

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

  5. E-pub ahead of print

    Bayesian CV@R/super-quantile regression

    Tsionas, E. & Izzeldin, M., 20/03/2018, (E-pub ahead of print) In: Journal of Applied Statistics.

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

  6. Published

    Smooth Approximations to Monotone Concave Functions in Production Analysis: An Alternative to Nonparametric Concave Least Squares

    Tsionas, E. & Izzeldin, M., 16/12/2018, In: European Journal of Operational Research. 271, 3, p. 797-807 11 p.

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

  7. Published

    Addressing endogeneity when estimating stochastic ray production frontiers: a Bayesian approach

    Tsionas, M., Izzeldin, M., Henningsen, A. & Paravalos, E., 31/03/2022, In: Empirical Economics. 62, 3, p. 1345-1363 19 p.

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

  8. Published

    Estimation of large dimensional time varying VARs using copulas

    Tsionas, M. G., Izzeldin, M. & Trapani, L., 31/01/2022, In: European Economic Review. 141, 34 p., 103952.

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

  9. Published

    Board busyness, performance and financial stability: does bank type matter?

    Trinh, V. Q., Elnahass, M., Salama, A. & Izzeldin, M., 23/05/2020, In: European Journal of Finance. 26, 7-8, p. 774-801 28 p.

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

  10. Published

    Examining the relationship between default risk and efficiency in Islamic and conventional banks

    Saeed, M. & Izzeldin, M., 12/2016, In: Journal of Economic Behavior and Organization. 132, Supplement, p. 127-154 28 p.

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

  11. Published

    The Inter-temporal relationship between Risk, Capital and Efficiency: The case of Islamic and conventional banks

    Saeed, M., Izzeldin, M., Hassan, M. K. & Pappas, V., 1/09/2020, In: Pacific-Basin Finance Journal. 62, 22 p., 101328.

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

  12. Published

    Yield Spread Determinants of Sukuk and Conventional Bonds

    Saeed, M., Elnahass, M., Izzeldin, M. & Tsionas, M., 31/12/2021, In: Economic Modelling. 105, 17 p., 105664.

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

  13. Published

    Will the crisis “tear us apart”? evidence from the EU

    Pappas, V., Ingham, H., Izzeldin, M. & Steele, G., 07/2016, In: International Review of Financial Analysis. 46, p. 346-360 15 p.

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

  14. E-pub ahead of print

    A survival analysis of Islamic and conventional banks

    Pappas, V., Ongena, S., Izzeldin, M. & Fuertes, A-M., 12/02/2016, (E-pub ahead of print) In: Journal of Financial Services Research. 51, 2, p. 221-256 36 p.

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

  15. Published

    Bootstrapping long memory tests: some Monte Carlo results

    Murphy, A. & Izzeldin, M., 2006, Lancaster University: The Department of Economics, (Economics Working Paper Series).

    Research output: Working paper

  16. Published

    A Novel Forecasting Model for the Baltic Dry Index Utilizing Optimal Squeezing

    Makridakis, S., Merikas, A., Merika, A., Tsionas, M. & Izzeldin, M., 1/01/2020, In: Journal of Forecasting. 39, 1, p. 56-68 13 p.

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

  17. Published

    Return Predictability of Variance Differences: a fractionally co-integrated approach

    Li, Z., Izzeldin, M. & Yao, X., 1/07/2020, In: The Journal of Futures Markets . 40, 7, p. 1072-1089 18 p.

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

  18. Published

    Return predictability of variance differences: A fractionally cointegrated approach

    Li, Z., Izzeldin, M. & Yao, X., 1/07/2020, In: Journal of Futures Markets. 40, 7, p. 1072-1089 18 p.

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

  19. Published

    On the Right Jump Tail Inferred from the VIX Market

    Li, Z., Yao, X. & Izzeldin, M., 31/03/2023, In: International Review of Financial Analysis. 86, 19 p., 102507.

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

  20. Published

    A comparison of performance of Islamic and conventional banks 2004 to 2009

    Johnes, J., Izzeldin, M. & Pappas, V., 10/2012, Lancaster: Lancaster University, Department of Economics, 45 p.

    Research output: Working paper

  21. Published

    A comparison of performance of Islamic and conventional banks 2004 to 2009

    Johnes, J., Izzeldin, M. & Pappas, V., 07/2014, In: Journal of Economic Behavior and Organization. 103, Supplement, p. S93-S107 15 p.

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

  22. Published

    Performance and Productivity in Islamic and Conventional Banks: Evidence from the Global Financial Crisis

    Johnes, J., Izzeldin, M., Pappas, V. & Alexakis, C., 1/06/2019, In: Economic Modelling. 79, p. 1-14 14 p.

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

  23. 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

  24. 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

  25. 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

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