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Research

Professor Marwan Izzeldin

Professor of Financial Econometrics, Director

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  1. 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

  2. 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

  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

    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

  5. 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

  6. 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

  7. 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

  8. Published

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

    Bu, R., Hizmeri, R., Izzeldin, M., Murphy, A. & Tsionas, M., 31/01/2023, In: Journal of Empirical Finance. 70, p. 144-164 21 p.

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

  9. 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

  10. 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

  11. 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

  12. 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

  13. 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

  14. 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

  15. Published

    On forecasting daily stock volatility: the role of intraday information and market conditions

    Fuertes, A-M., Izzeldin, M. & Kalotychou, E., 6/01/2009, In: International Journal of Forecasting. 25, 2, p. 259-281 23 p.

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

  16. 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

  17. 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

  18. Published

    Loan loss provisions, bank valuations and discretion: a comparative study between conventional and Islamic banks

    El Nahass, M., Izzeldin, M. & AbdElsalam, O., 07/2014, In: Journal of Economic Behavior and Organization. 103, Supplement, p. S160-S173 14 p.

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

  19. Published

    Liquidity Creation Through Efficient M&As: A Viable Solution for Vulnerable Banking Systems? Evidence From a Stress Test Under a Panel VAR methodology

    Baltas, K. N., Kapetanios, G., Tsionas, E. & Izzeldin, M., 10/2017, In: Journal of Banking and Finance. 83, p. 36-56 21 p.

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

  20. 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

  21. 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

  22. 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

  23. 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

  24. 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

  25. Published

    Changes in the global oil market

    Bataa, E., Izzeldin, M. & Osborn, D., 2015, Lancaster: Lancaster University, Department of Economics, 34 p. (Economics Working Paper Series; vol. 2015, no. 4).

    Research output: Working paper

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