Dr Marwan Izzeldin

Senior Lecturer

Current Research

Current research falls under the following titles:

1) On Forecasting Daily Stock Volatility: The Role of Intraday Information and Market Conditions.

2) Bootstrapping Long Memory Tests: Some Monte Carlo Results.

3) On the Adequacy of the J-test to Test the Validity of the Mixture of Distribution Hypothesis Model.

4) Comparing the properties of realised volatility using FX and equity data.

5) Recovering Returns Normality in high frequency data using Parametric and Non-parametric measures of Volatility.

6) Performance Measures in Islamic Banks.

7) Quantifying Risk in Islamic financial instruments.

8) Demand-base Ranking of Islamic products.

Loan loss provisions, bank valuations and discretion: a comparative study between conventional and Islamic banks
El Nahass, M., Izzeldin, M., AbdElsalam, O. 07/2014 In: Journal of Economic Behavior and Organization. 103, Supplement, p. S160-S173. 14 p.
Journal article

A comparison of performance of Islamic and conventional banks 2004 to 2009
Johnes, J., Izzeldin, M., Pappas, V. 07/2014 In: Journal of Economic Behavior and Organization. 103, Supplement, p. S93-S107. 15 p.
Journal article

Examining the relationship between default risk and efficiency in Islamic and conventional banks
Saeed, M., Izzeldin, M. 2014 In: Journal of Economic Behavior and Organization.
Journal article

A comparison of performance of Islamic and conventional banks 2004 to 2009
Johnes, J., Izzeldin, M., Pappas, V. 10/2012 Lancaster : Lancaster University, Department of Economics, 45 p.
Working paper

Recovering the moments of information flow and normality of asset returns
Izzeldin, M., Murphy, A. 21/05/2010 In: Applied Financial Economics. 20, 10, p. 761-769. 8 p.
Journal article

Bootstrapping long memory tests: Some Monte Carlo results
Izzeldin, M., Murphy, A. 15/04/2009 In: Computational Statistics and Data Analysis. 53, 6, p. 2325-2334. 10 p.
Journal article

On forecasting daily stock volatility: the role of intraday information and market conditions
Fuertes, A., Izzeldin, M., Kalotychou, E. 6/01/2009 In: International Journal of Forecasting. 25, 2, p. 259. 281 p.
Journal article

Trading volume and the number of trades: a comparative study using high frequency data
Izzeldin, M. 2007 Lancaster University : The Department of Economics, 25 p.
Working paper

Bootstrapping long memory tests: some Monte Carlo results
Murphy, A., Izzeldin, M. 2006 Lancaster University : The Department of Economics
Working paper

A guided tour of TSMod 4.03
Fuertes, A., Izzeldin, M., Murphy, A. 2005 In: Journal of Applied Econometrics. 20, 5, p. 691-698. 8 p.
Journal article

Bootstrapping the small sample critical values of the rescaled range statistic
Izzeldin, M., Murphy, A. 2000 In: The Economic and Social Review. 31, 4, p. 351-359. 9 p.
Journal article