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Research

Professor Marwan Izzeldin

Professor of Financial Econometrics, Director

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  1. 2019
  2. 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

  3. 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

  4. 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

  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. 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. 2018
  8. 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

  9. 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

  10. 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

  11. Published

    Capital and Earnings Management: Evidence from Alternative Banking Business Models

    El Nahass, M., Izzeldin, M. & Steele, G. R., 03/2018, In: The International Journal of Accounting. 53, 1, p. 20-32 13 p.

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

  12. 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

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