Marwan Izzeldin

Lancaster University Management School

Lecturer

Lancaster, LA1 4YX

United Kingdom

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

SCHOLARLY PAPERS

18

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2,474

SSRN CITATIONS

11

CROSSREF CITATIONS

2

Scholarly Papers (18)

1.

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
University of Bath, University of Zurich - Department of Banking and Finance, Lancaster University Management School and Cass Business School, City University of London
Downloads 717 (43,955)
Citation 14

Abstract:

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Islamic banks, Failure risk, Survival analysis, Financial intermediation

2.

Efficiency Convergence in Islamic and Conventional Banks

Number of pages: 43 Posted: 02 May 2017 Last Revised: 23 Sep 2018
University of Huddersfield, University of Zurich - Department of Banking and Finance, University of Bath, Lancaster University and Lancaster University Management School
Downloads 356 (103,949)
Citation 2

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

3.

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
Cass Business School, City University of London, Cass Business School, City, University of London and Lancaster University Management School
Downloads 307 (122,188)
Citation 1

Abstract:

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

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
Lancaster University Management School, Queen Mary University of London, University of Kent, Kent Business School and University of Westminster
Downloads 240 (157,095)

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

5.

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 190 (195,573)
Citation 4

Abstract:

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

6.

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 Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 98 (326,655)

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Heterogeneous autoregressive model; Clustering; Lasso; Realized volatility

7.

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 98 (326,655)

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

8.

A Generalized Heterogeneous Autoregressive Model using Market Information

Number of pages: 45 Posted: 18 Dec 2019 Last Revised: 09 Jul 2021
University of Liverpool - Management School (ULMS), Lancaster University Management School, Lancaster University - Department of Accounting and Finance and University of Kent, Kent Business School
Downloads 91 (342,366)

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

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

Number of pages: 44 Posted: 01 May 2019 Last Revised: 08 Jul 2021
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 41 (518,661)

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

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

FRB of Dallas Working Paper No. 1902
Number of pages: 46 Posted: 22 Apr 2019 Last Revised: 29 Apr 2020
University of Liverpool - Management School (ULMS), Lancaster University Management School, Federal Reserve Banks - Federal Reserve Bank of Dallas and Lancaster University
Downloads 37 (539,033)

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10.

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 57 (442,800)
Citation 1

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

11.

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
Lancaster University Management School, University of Huddersfield, University of Zurich - Department of Banking and Finance, University of Kent, Kent Business School and Lancaster University
Downloads 55 (450,152)

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

12.

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 52 (461,348)
Citation 1

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

13.

Forecasting the Realized Variance in the Presence of Intraday Periodicity

Number of pages: 52 Posted: 11 Jun 2019 Last Revised: 16 Apr 2021
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 49 (473,368)

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realized volatility, heterogeneous autoregressive models, intraday periodicity, forecast, realized jumps

14.

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 affiliation not provided to SSRN
Downloads 46 (485,830)

Abstract:

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

15.

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 33 (547,910)

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

16.

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
Lancaster University Management School, University of Sussex - School of Business, Management and Economics, Federal Reserve Banks - Federal Reserve Bank of Dallas and Lancaster University
Downloads 7 (726,048)

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

17.

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

18.

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