Items where Author is "Izzeldin, Marwan"

Hizmeri, Rodrigo and Izzeldin, Marwan and Urga, Giovanni (2025) Identifying the Underlying Components of High-Frequency Data : Pure vs Jump Diffusion Processes. Journal of Empirical Finance, 81 (3): 101594. ISSN 0927-5398

Dumitru, Ana-Maria H. and Hizmeri, Rodrigo and Izzeldin, Marwan (2025) Forecasting the Realized Variance in the Presence of Intraday Periodicity. Journal of Banking and Finance, 170: 107342. ISSN 0378-4266

Luo, Yi and Xue, Xiaohan and Izzeldin, Marwan (2025) When MIDAS Meets LASSO : The Power of Low-frequency Variables in Forecasting Value-at-Risk and Expected Shortfall. Journal of Financial Econometrics, 23 (1). ISSN 1479-8409

Muslimin, Wachid and Izzeldin, Marwan (2024) Essays in Empirical Finance: (In)Direct Effect of Religion towards (Non)Financial Firms' Market Risks. PhD thesis, Lancaster University.

Johnes, Geraint and Tsionas, Mike and Izzeldin, Marwan (2024) Multi-Stage Stochastic Frontier Analysis for Simple Networks. International Transactions in Operational Research. ISSN 0969-6016

Izzeldin, Marwan and Muradoglu, Gulnur and Pappas, Vasileios and Petropoulou, Athina and Sivaprasad, Sheeja (2023) The Impact of the Russian-Ukrainian War on Global Financial Markets. International Review of Financial Analysis, 87: 102598. ISSN 1057-5219

Li, Zhenxiong and Yao, Xingzhi and Izzeldin, Marwan (2023) On the Right Jump Tail Inferred from the VIX Market. International Review of Financial Analysis, 86: 102507. ISSN 1057-5219

Bu, Ruijun and Hizmeri, Rodrigo and Izzeldin, Marwan and Murphy, Antony and Tsionas, Mike (2023) The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. Journal of Empirical Finance, 70. pp. 144-164. ISSN 0927-5398

Hizmeri, Rodrigo and Izzeldin, Marwan and Nolte, Ingmar and Pappas, Vasileios (2022) A Generalized Heterogeneous Autoregressive Model using the Market Index. Quantitative Finance, 22 (8). pp. 1513-1534. ISSN 1469-7688

Hizmeri, Rodrigo and Izzeldin, Marwan and Nolte, Ingmar and Pappas, Vasileios (2022) A generalized heterogeneous autoregressive model using market information. Quantitative Finance, 22 (8). pp. 1513-1534. ISSN 1469-7688

Tsionas, Mike and Izzeldin, Marwan and Henningsen, Arne and Paravalos, Evaggelos (2022) Addressing endogeneity when estimating stochastic ray production frontiers : a Bayesian approach. Empirical Economics, 62 (3). pp. 1345-1363. ISSN 0377-7332

Tsionas, Mike G. and Izzeldin, Marwan and Trapani, Lorenzo (2022) Estimation of large dimensional time varying VARs using copulas. European Economic Review, 141: 103952. ISSN 0014-2921

Luo, Sherry and Izzeldin, Marwan and Tsionas, Mike (2022) Essays on Hybrid Modeling of Machine Learning Algorithms and Financial Time Series Models. PhD thesis, Lancaster University.

Ghalayini, Aya and Izzeldin, Marwan and Tsionas, Mike (2022) Essays on Models with Mixed Frequency Data and Time Varying Parameters. PhD thesis, Lancaster University.

Saeed, Momna and Elnahass, Marwa and Izzeldin, Marwan and Tsionas, Mike (2021) Yield Spread Determinants of Sukuk and Conventional Bonds. Economic Modelling, 105: 105664. ISSN 0264-9993

Izzeldin, Marwan and Muradoglu, Gulnur and Pappas, Vasileios and Sivaprasad, Sheeja (2021) The impact of Covid-19 on G7 stock markets volatility : Evidence from a ST-HAR model. International Review of Financial Analysis, 74: 101671. ISSN 1057-5219

Hizmeri, Rodrigo and Izzeldin, Marwan and Tsionas, Mike (2021) Essays on High Frequency Financial Econometrics : (Co)Jumps, Aggregation, Asymmetry and Measurement Error. PhD thesis, Lancaster University.

Guan, Yanying and Izzeldin, Marwan and Tsionas, Mike (2021) The impact of intraday periodicity and news announcements on high-frequency stock volatility. PhD thesis, Lancaster University.

Saeed, Momna and Izzeldin, Marwan and Hassan, M. Kabir and Pappas, Vasileios (2020) The Inter-temporal relationship between Risk, Capital and Efficiency : The case of Islamic and conventional banks. Pacific-Basin Finance Journal, 62: 101328. ISSN 0927-538X

Li, Zhenxiong and Izzeldin, Marwan and Yao, Xingzhi (2020) Return Predictability of Variance Differences : a fractionally co-integrated approach. The Journal of Futures Markets, 40 (7). pp. 1072-1089.

Trinh, Vu Quang and Elnahass, Marwa and Salama, Aly and Izzeldin, Marwan (2020) Board busyness, performance and financial stability : does bank type matter? European Journal of Finance, 26 (7-8). pp. 774-801. ISSN 1351-847X

Makridakis, Spyros and Merikas, Andreas and Merika, Anna and Tsionas, Mike and Izzeldin, Marwan (2020) A Novel Forecasting Model for the Baltic Dry Index Utilizing Optimal Squeezing. Journal of Forecasting, 39 (1). pp. 56-68. ISSN 0277-6693

Izzeldin, Marwan and Hassan, M. Kabir and Pappas, Vasileios and Tsionas, Mike (2019) Forecasting Realised Volatility Using ARFIMA and HAR Models. Quantitative Finance, 19 (10). pp. 1627-1638. ISSN 1469-7688

Yao, Xingzhi and Izzeldin, Marwan and Li, Zhenxiong (2019) A novel cluster HAR-type model for forecasting realized volatility. International Journal of Forecasting, 35. pp. 1318-1331. ISSN 0169-2070

Yao, Xingzhi and Izzeldin, Marwan and Li, Zhenxiong (2019) Modelling systems with a mixture of I (d) and I (0) variables using the fractionally co-integrated VAR model. Economics Letters, 181. pp. 160-163. ISSN 0165-1765

Johnes, Jill and Izzeldin, Marwan and Pappas, Vasileios and Alexakis, Christos (2019) Performance and Productivity in Islamic and Conventional Banks : Evidence from the Global Financial Crisis. Economic Modelling, 79. pp. 1-14. ISSN 0264-9993

Hizmeri, Rodrigo and Izzeldin, Marwan and Murphy, Anthony and Tsionas, Mike (2019) The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. Working Paper. Lancaster University, Department of Economics, Lancaster.

Izzeldin, Marwan and Tsionas, Efthymios and Michaelides, Panayotis G. (2019) Multivariate stochastic volatility with large and moderate shocks. Journal of the Royal Statistical Society: Series A Statistics in Society. ISSN 0964-1998

George, Rhea and Izzeldin, Marwan and Ingham, Hilary (2019) An Econometric Analysis of Global Commodity Prices. PhD thesis, Lancaster University.

Tsionas, Efthymios and Izzeldin, Marwan (2018) Smooth Approximations to Monotone Concave Functions in Production Analysis : An Alternative to Nonparametric Concave Least Squares. European Journal of Operational Research, 271 (3). pp. 797-807. ISSN 0377-2217

Tsionas, Mike and Izzeldin, Marwan (2018) A Novel Model of Costly Technical Efficiency. European Journal of Operational Research, 268 (2). pp. 653-664. ISSN 0377-2217

Tsionas, Efthymios and Izzeldin, Marwan (2018) Bayesian CV@R/super-quantile regression. Journal of Applied Statistics. ISSN 0266-4763

El Nahass, Marwa and Izzeldin, Marwan and Steele, Gerald Roy (2018) Capital and Earnings Management : Evidence from Alternative Banking Business Models. The International Journal of Accounting, 53 (1). pp. 20-32. ISSN 0020-7063

Yao, Xingzhi and Izzeldin, Marwan (2018) Forecasting Using Alternative Measures of Model-Free Option-Implied Volatility. Journal of Futures Markets, 38 (2). pp. 199-218. ISSN 0270-7314

Baltas, Konstantinos N. and Kapetanios, George and Tsionas, Efthymios and Izzeldin, Marwan (2017) Liquidity Creation Through Efficient M&As : A Viable Solution for Vulnerable Banking Systems? Evidence From a Stress Test Under a Panel VAR methodology. Journal of Banking and Finance, 83. pp. 36-56. ISSN 0378-4266

Khan, Caroline and Izzeldin, Marwan and Spiru, Alina and Peel, David (2017) Essays in the Gulf Cooperation Council economies and market dynamics. PhD thesis, Lancaster University.

Yao, Xingzhi and Izzeldin, Marwan and Peel, David (2017) Volatility and return forecasting : time series and options-based methods. PhD thesis, Lancaster University.

Saeed, Momna and Izzeldin, Marwan (2016) Examining the relationship between default risk and efficiency in Islamic and conventional banks. Journal of Economic Behavior and Organization, 132 (Supple). pp. 127-154. ISSN 0167-2681

Pappas, Vasileios and Ingham, Hilary and Izzeldin, Marwan and Steele, Gerald (2016) Will the crisis “tear us apart”? : evidence from the EU. International Review of Financial Analysis, 46. pp. 346-360. ISSN 1057-5219

Bataa, Erdenebat and Izzeldin, Marwan and Osborn, Denise (2016) Changes in the global oil market. Energy Economics, 56. pp. 161-176. ISSN 0140-9883

Pappas, Vasileios and Ongena, Steven and Izzeldin, Marwan and Fuertes, Ana-Maria (2016) A survival analysis of Islamic and conventional banks. Journal of Financial Services Research, 51 (2). pp. 221-256. ISSN 0920-8550

Bataa, Erdenebat and Izzeldin, Marwan and Osborn, Denise (2015) Changes in the global oil market. Working Paper. Lancaster University, Department of Economics, Lancaster.

El Nahass, Marwa and Izzeldin, Marwan and AbdElsalam, Omneya (2014) Loan loss provisions, bank valuations and discretion : a comparative study between conventional and Islamic banks. Journal of Economic Behavior and Organization, 103 (Supple). S160-S173. ISSN 0167-2681

Johnes, Jill and Izzeldin, Marwan and Pappas, Vasileios (2014) A comparison of performance of Islamic and conventional banks 2004 to 2009. Journal of Economic Behavior and Organization, 103 (Supple). S93-S107. ISSN 0167-2681

Johnes, Jill and Izzeldin, Marwan and Pappas, Vasileios (2012) A comparison of performance of Islamic and conventional banks 2004 to 2009. Working Paper. Lancaster University, Department of Economics, Lancaster.

Izzeldin, Marwan and Murphy, Anthony (2010) Recovering the moments of information flow and normality of asset returns. Applied Financial Economics, 20 (10). pp. 761-769. ISSN 0960-3107

Izzeldin, Marwan and Murphy, Anthony (2009) Bootstrapping long memory tests: Some Monte Carlo results. Computational Statistics and Data Analysis, 53 (6). pp. 2325-2334. ISSN 0167-9473

Fuertes, Ana-Maria and Izzeldin, Marwan and Kalotychou, Elena (2009) On forecasting daily stock volatility: the role of intraday information and market conditions. International Journal of Forecasting, 25 (2). pp. 259-281. ISSN 0169-2070

Izzeldin, Marwan (2007) Trading volume and the number of trades : a comparative study using high frequency data. Working Paper. The Department of Economics, Lancaster University.

Fuertes, Ana-Maria and Izzeldin, Marwan and Murphy, Anthony (2005) A guided tour of TSMod 4.03. Journal of Applied Econometrics, 20 (5). pp. 691-698. ISSN 0883-7252

Izzeldin, Marwan and Murphy, Anthony (2000) Bootstrapping the small sample critical values of the rescaled range statistic. Economic and Social Review, 31 (4). pp. 351-359.