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Research

Professor Marwan Izzeldin

Professor of Financial Econometrics, Director

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  1. 2018
  2. 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

  3. 2019
  4. 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

  5. Published

    The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility

    Hizmeri, R., Izzeldin, M., Murphy, A. & Tsionas, M., 1/05/2019, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  6. 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

  7. 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

  8. 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

  9. 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

  10. 2020
  11. 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

  12. 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

  13. 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

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