Marwan Izzeldin

Lancaster University Management School

Lecturer

Lancaster, LA1 4YX

United Kingdom

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

SCHOLARLY PAPERS

20

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3,499

SSRN CITATIONS
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SSRN RANKINGS

Top 49,349

in Total Papers Citations

10

CROSSREF CITATIONS

3

Scholarly Papers (20)

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 Bayes Business School, City, University of London
Downloads 746 (50,224)
Citation 9

Abstract:

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Islamic banks, Failure risk, Survival analysis, Financial intermediation

2.

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

Number of pages: 36 Posted: 16 Jun 2022 Last Revised: 07 Oct 2022
Lancaster University Management School, City University London - The Business SchoolQueen Mary University of London, University of Kent, Kent Business School, SOAS University of London and University of Westminster
Downloads 459 (92,799)

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

3.

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 372 (117,926)
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
Lancaster University Management School, City University London - The Business SchoolQueen Mary University of London, University of Kent, Kent Business School and University of Westminster
Downloads 332 (133,610)

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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, Cass Business School, City, University of London and Lancaster University Management School
Downloads 315 (141,171)
Citation 2

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

6.

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 210 (210,680)
Citation 4

Abstract:

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

7.

A Generalized Heterogeneous Autoregressive Model using Market Information

Quantitative Finance (forthocoming)
Number of pages: 55 Posted: 18 Dec 2019 Last Revised: 10 May 2022
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 169 (254,798)

Abstract:

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

8.

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 114 (345,536)

Abstract:

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Jump tail risk, return predictability, VIX derivatives

9.

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 108 (358,694)

Abstract:

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Heterogeneous autoregressive model; Clustering; Lasso; Realized volatility

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 105 (365,518)
Citation 1

Abstract:

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

11.

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 105 (365,518)

Abstract:

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

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 51 (552,011)

Abstract:

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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 47 (571,878)

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13.

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 97 (384,929)
Citation 1

Abstract:

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

14.

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 92 (397,996)

Abstract:

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

15.

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 64 (488,116)

Abstract:

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

16.

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 Nottingham - School of Economics
Downloads 62 (495,903)
Citation 1

Abstract:

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

17.

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 40 (597,460)

Abstract:

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

18.

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, Birkbeck College, University of London, Federal Reserve Banks - Federal Reserve Bank of Dallas and Lancaster University
Downloads 11 (817,753)

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

19.

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

Abstract:

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

20.

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

Abstract:

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