Marwan Izzeldin

Lancaster University Management School

Lecturer

Lancaster, LA1 4YX

United Kingdom

http://www.lums.lancs.ac.uk/profiles/marwan-izzeldin/

  • Lancaster University Management School

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    • Tel: 01524 594674
SCHOLARLY PAPERS

22

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5,335

TOTAL CITATIONS
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Top 18,723

in Total Papers Citations

75

Scholarly Papers (22)

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1.

The Impact of the Russian-Ukrainian War on Global Financial Markets

Number of pages: 36 Posted: 16 Jun 2022 Last Revised: 07 Oct 2022
Marwan Izzeldin, Yaz Gulnur Muradoglu, Vasileios Pappas, Athina Petropoulou and Sheeja Sivaprasad
Lancaster University Management School, University of Illinois Springfield, University of Surrey - Surrey Business School, University of Sussex Business School and University of Westminster
Downloads 944 (51,008)
Citation 33

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Ukraine war, financial markets, HAR, Markov switching, commodities

2.

A Survival Analysis of Islamic and Conventional Banks

Journal of Financial Services Research, Forthcoming
Number of pages: 38 Posted: 31 May 2012 Last Revised: 11 Sep 2019
Vasileios Pappas, Steven Ongena, Marwan Izzeldin and Ana-Maria Fuertes
University of Bath, University of Zurich - Department Finance, Lancaster University Management School and Bayes Business School, City, University of London
Downloads 843 (59,574)
Citation 18

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Islamic banks, Failure risk, Survival analysis, Financial intermediation

3.

Efficiency Convergence in Islamic and Conventional Banks

Number of pages: 43 Posted: 02 May 2017 Last Revised: 23 Sep 2018
Jill Johnes, Steven Ongena, Vasileios Pappas, Mike Tsionas and Marwan Izzeldin
University of Huddersfield, University of Zurich - Department Finance, University of Surrey - Surrey Business School, Lancaster University and Lancaster University Management School
Downloads 404 (149,559)
Citation 2

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Efficiency Convergence, Random Parameter Estimation, Conditional β-Convergence, Islamic Banks, Classification Trees

4.

The impact of COVID-19 on G7 stock markets volatility: Evidence from a ST-HAR model

Number of pages: 15 Posted: 26 May 2020 Last Revised: 09 Jun 2020
Marwan Izzeldin, Yaz Gulnur Muradoglu, Vasileios Pappas and Sheeja Sivaprasad
Lancaster University Management School, University of Illinois Springfield, University of Surrey - Surrey Business School and University of Westminster
Downloads 390 (155,464)

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COVID-19, financial markets, HAR model, smooth transition, business sectors

5.

Forecasting Daily Stock Volatility: the Role of Intraday Information and Market Conditions

International Journal of Forecasting (2009) Vol.25, 259-281
Number of pages: 72 Posted: 29 May 2008 Last Revised: 19 Dec 2013
Ana-Maria Fuertes, Elena Kalotychou and Marwan Izzeldin
Bayes Business School, City, University of London, Cyprus University of Technology and Lancaster University Management School
Downloads 369 (165,362)
Citation 5

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Conditional variance, Quadratic variation, Nonparametric estimators, Intraday prices, Superior predictive ability

6.

A Generalized Heterogeneous Autoregressive Model using Market Information

Quantitative Finance (Forthcoming)
Number of pages: 55 Posted: 18 Dec 2019 Last Revised: 06 Dec 2022
Rodrigo Hizmeri, Marwan Izzeldin, Ingmar Nolte and Vasileios Pappas
University of Liverpool - Management School (ULMS), Lancaster University Management School, Lancaster University - Department of Accounting and Finance and University of Surrey - Surrey Business School
Downloads 283 (220,504)
Citation 1

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Realized Volatility, Microstructure Noise, Pre-Averaged Estimators, Semi-variances, Semicovariances, Volatility Forecasting.

7.

Efficiency in Islamic and Conventional Banks: Evidence from the Gulf Cooperation Council Countries

Number of pages: 36 Posted: 21 Mar 2014
Jill Johnes, Marwan Izzeldin and Vasileios Pappas
University of Huddersfield, Lancaster University Management School and University of Bath
Downloads 247 (253,120)
Citation 4

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Banking sector; Efficiency; Data Envelopment Analysis; Financial ratio analysis; Gulf region

8.

Forecasting the Realized Variance in the Presence of Intraday Periodicity

Journal of Banking & Finance (Forthcoming)
Number of pages: 75 Posted: 11 Jun 2019 Last Revised: 17 Nov 2024
Ana-Maria H. Dumitru, Rodrigo Hizmeri and Marwan Izzeldin
University of Surrey, School of Economics, University of Liverpool - Management School (ULMS) and Lancaster University Management School
Downloads 239 (260,327)

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realized volatility, heterogeneous autoregressive models, intraday periodicity, forecast, variance risk-premium

9.

Downside Implied Correlation: The Driving Force of Volatility Risk

Number of pages: 59 Posted: 30 Apr 2024 Last Revised: 27 Nov 2024
Zhenxiong Li, Rodrigo Hizmeri, Xingzhi Yao and Marwan Izzeldin
Department of Economics, Dongwu Business School, Soochow University, University of Liverpool - Management School (ULMS), Xi'an Jiaotong-Liverpool University (XJTLU) - International Business School Suzhou and Lancaster University Management School
Downloads 237 (262,470)

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Implied correlation risk, volatility risk, risk factors, cross-sectional stock returns

10.

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

Downloads 220 (281,875)

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

FRB of Dallas Working Paper No. 1902
Number of pages: 52 Posted: 22 Apr 2019 Last Revised: 30 Dec 2022
Rodrigo Hizmeri, Marwan Izzeldin, Anthony Murphy and Mike G. Tsionas
University of Liverpool - Management School (ULMS), Lancaster University Management School, Federal Reserve Banks - Federal Reserve Bank of Dallas and Lancaster University
Downloads 132 (440,352)

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Volatility Forecasts, Realized Volatility, Finite Activity Jumps, Infinite Activity Jumps, Signed Jumps, Noise-Robust Realized Volatility, Model Averaging

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

Journal of Empirical Finance, Forthcoming
Number of pages: 51 Posted: 01 May 2019 Last Revised: 06 Dec 2022
Ruijun Bu, Rodrigo Hizmeri, Marwan Izzeldin, Anthony Murphy and Mike Tsionas
University of Liverpool - Management School (ULMS), University of Liverpool - Management School (ULMS), Lancaster University Management School, Federal Reserve Banks - Federal Reserve Bank of Dallas and Lancaster University
Downloads 88 (592,650)

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Volatility Forecasting, Jump Measures, Business Sampling, Calendar Sampling, Market Microstructure Noise, Model Averaging

11.

Bolstering the Modelling and Forecasting of Realized Covariance Matrices using (Directional) Common Jumps

Number of pages: 39 Posted: 12 Jan 2021 Last Revised: 08 Jul 2021
Rodrigo Hizmeri, Marwan Izzeldin and Ingmar Nolte
University of Liverpool - Management School (ULMS), Lancaster University Management School and Lancaster University - Department of Accounting and Finance
Downloads 154 (390,274)
Citation 1

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Common Jumps, Directional Common Jumps, Realized Covariances, Forecasting, Asset Allocation, Portfolio Construction

12.

A Simple Model Correction for Modelling and Forecasting (Un)Reliable Realized Volatility

Number of pages: 49 Posted: 01 Aug 2020 Last Revised: 08 Jul 2021
Rodrigo Hizmeri, Marwan Izzeldin and Mike Tsionas
University of Liverpool - Management School (ULMS), Lancaster University Management School and Lancaster University
Downloads 153 (390,274)
Citation 1

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Realized Volatility, Forecasting, Measurement Error, HAR, GARCH, HARQ, DBC-HAR

13.

On the Right Jump Tail Inferred from the VIX Market

Number of pages: 49 Posted: 27 Dec 2021 Last Revised: 07 Jun 2022
Zhenxiong Li, Xingzhi Yao and Marwan Izzeldin
Department of Economics, Dongwu Business School, Soochow University, Xi'an Jiaotong-Liverpool University (XJTLU) - International Business School Suzhou and Lancaster University Management School
Downloads 148 (401,106)
Citation 1

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Jump tail risk, return predictability, VIX derivatives

14.

When MIDAS Meets LASSO: The Power of Low-Frequency Variables in Forecasting Value-at-Risk and Expected Shortfall

Number of pages: 53 Posted: 31 Jan 2023
Yi Luo, Xiaohan Xue and Marwan Izzeldin
Xi'an Jiaotong-Liverpool University, University of Bath, School of management and Lancaster University Management School
Downloads 144 (409,994)

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Machine learning, Mixed frequency, Value-at-Risk, Expected Shortfall

15.

A Novel Cluster HAR-Type Model for Forecasting Realized Volatility

International Journal of Forecasting, Forthcoming
Number of pages: 41 Posted: 18 Mar 2019 Last Revised: 26 Apr 2019
Xingzhi Yao, Marwan Izzeldin and Zhenxiong Li
Xi'an Jiaotong-Liverpool University (XJTLU) - International Business School Suzhou, Lancaster University Management School and Department of Economics, Dongwu Business School, Soochow University
Downloads 134 (433,868)
Citation 4

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Heterogeneous autoregressive model; Clustering; Lasso; Realized volatility

16.

Financial Markets Synchronization and Contagion: Evidence from CEE and Eurozone

Number of pages: 22 Posted: 21 Mar 2014
Vasileios Pappas, Hilary Ingham, Marwan Izzeldin and G R Steele
University of Bath, Lancaster University, Lancaster University Management School and Lancaster University - Department of Economics
Downloads 129 (447,044)

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Contagion, Crisis Intensity, DCC-GARCH, European Union, Markov-Switching, New Member States

17.

Efficiency Convergence in Islamic and Conventional Banks

Swiss Finance Institute Research Paper No. 19-71
Number of pages: 48 Posted: 16 Sep 2019 Last Revised: 05 Oct 2020
Marwan Izzeldin, Jill Johnes, Steven Ongena, Vasileios Pappas and Mike Tsionas
Lancaster University Management School, University of Huddersfield, University of Zurich - Department Finance, University of Surrey - Surrey Business School and Lancaster University
Downloads 115 (488,159)
Citation 3

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Efficiency convergence, Community banks, Conditional β-convergence, Islamic banks, Classification trees

18.

Bayesian Estimation of Large Dimensional Time Varying VARs Using Copulas

Number of pages: 32 Posted: 17 Jan 2020
Mike Tsionas, Marwan Izzeldin and Lorenzo Trapani
Lancaster University, Lancaster University Management School and University of Leicester - School of Business
Downloads 81 (615,091)
Citation 2

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Vector AutoRegressive Moving Average models, Time-Varying parameters, Copulas

19.

Evaluating the Underlying Components of High Frequency Financial Data: Finite Sample Performance and Microstructure Noise Effects

Number of pages: 37 Posted: 03 Aug 2020
Rodrigo Hizmeri and Marwan Izzeldin
University of Liverpool - Management School (ULMS) and Lancaster University Management School
Downloads 65 (696,343)

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high-frequency data, infinite jumps, finite jumps, Brownian motion, microstructure noise, continuous-time-models

20.

A Novel Mimic-Style Model of European Bank Technical Efficiency and Productivity Growth

FRB of Dallas Working Paper No. 2012
Number of pages: 36 Posted: 23 May 2020
Marwan Izzeldin, E. C. Mamatzakis, Anthony Murphy and Mike Tsionas
Lancaster University Management School, Birkbeck College, University of London, Federal Reserve Banks - Federal Reserve Bank of Dallas and Lancaster University
Downloads 36 (887,402)

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Multiple Indicators-Multiple Causes (MIMIC), technical efficiency, productivity growth, EU banks

21.

Capital and Earnings Management: Evidence from Alternative Banking Business Models

The International Journal of Accounting, Volume 53, Issue 1, March 2018, Pages 20-32
Posted: 17 May 2019
Marwa Elnahass, Marwan Izzeldin and G R Steele
Newcastle University Business School, Lancaster University Management School and Lancaster University - Department of Economics

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IFRS, Regulatory Capital management, Earnings management, Expected loan losses, Incurred loan losses

22.

A Comparison of Performance of Islamic and Conventional Banks 2004 to 2009

Journal of Economic Behavior and Organization, Vol. 103, 2014
Posted: 01 Jun 2012 Last Revised: 08 Jan 2015
Jill Johnes, Marwan Izzeldin and Vasileios Pappas
University of Huddersfield, Lancaster University Management School and University of Bath

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Banking sector, Islamic banking, Efficiency, Data envelopment analysis, Meta-frontier analysis