← All authors Marwan Izzeldin Lancaster University (from arXiv:1912.12527, 2019) · ORCID · OpenAlex
40 papers in scope · 40 published · 1 on the econ.EM arXiv · 1,700 citations · h-index 16 (over the papers listed here)
Papers (1 of 40)
Bayesian inference in dynamic panel stochastic frontier models
published 2026 · Journal of the Royal Statistical Society Series A (Statistics in Society)
with Mariol Jonuzaj, Mike Tsionas
Brexit and Its Impact on EU Financial Markets
published 2026 · International Journal of Finance & Economics · first circulated 2025
with Gulnur Muradoglu, Vasileios Pappas, Sheeja Sivaprasad, Yaz Gűlnur Muradoğlu
A dynamic state-space HAR model
published 2025 · Journal of Econometrics
Integrating Technical Knowledge and Entrepreneurial Skills in Production: A Deconfounding Approach
published 2025 · Open Economies Review
An innovative Bayesian multiple indicator-multiple cause analysis of bank productivity
published 2025 · Review of Quantitative Finance and Accounting
Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes
published 2025 · Journal of Empirical Finance
Forecasting the realized variance in the presence of intraday periodicity
published 2024 · Journal of Banking & Finance · 2 citations · first circulated 2019
with Ana Maria H. Dumitru, Rodrigo Hizmeri, Ana-Maria Dumitru
When MIDAS Meets LASSO: The Power of Low-Frequency Variables in Forecasting Value-at-Risk and Expected Shortfall
published 2024 · Journal of Financial Econometrics · first circulated 2023
with Yi Luo, Xiaohan Xue
The impact of the Russian-Ukrainian war on global financial markets
published 2023 · International Review of Financial Analysis · 301 citations · first circulated 2022
with Yaz Gűlnur Muradoğlu, Vasileios Pappas, Athina Petropoulou, Sheeja Sivaprasad
On the right jump tail inferred from the VIX market
published 2023 · International Review of Financial Analysis · 4 citations · first circulated 2021
with Zhenxiong Li, Xingzhi Yao
The contribution of jump signs and activity to forecasting stock price volatility
published 2022 · Journal of Empirical Finance · 13 citations · first circulated 2019
A generalized heterogeneous autoregressive model using market information
published 2022 · Quantitative Finance · 5 citations · first circulated 2019
with Rodrigo Hizmeri, Ingmar Nolte, Vasileios Pappas
published 2021 · European Economic Review · 9 citations · first circulated 2019
Yield spread determinants of sukuk and conventional bonds
published 2021 · Economic Modelling · 25 citations
Addressing endogeneity when estimating stochastic ray production frontiers: a Bayesian approach
published 2021 · Empirical Economics · 5 citations · first circulated 2019
The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model
published 2021 · International Review of Financial Analysis · 140 citations
with Yaz Gűlnur Muradoğlu, Vasileios Pappas, Sheeja Sivaprasad
Efficiency convergence in Islamic and conventional banks
published 2020 · Journal of International Financial Markets Institutions and Money · 55 citations
The inter-temporal relationship between risk, capital and efficiency: The case of Islamic and conventional banks
published 2020 · Pacific-Basin Finance Journal · 62 citations
with Momna Saeed, M. Kabir Hassan, Vasileios Pappas
Return predictability of variance differences: A fractionally cointegrated approach
published 2020 · Journal of Futures Markets · 7 citations
with Zhenxiong Li, Xingzhi Yao
A novel cluster HAR-type model for forecasting realized volatility
published 2019 · International Journal of Forecasting · 16 citations
with Xingzhi Yao, Zhenxiong Li
Board busyness, performance and financial stability: does bank type matter?
published 2019 · European Journal of Finance · 114 citations
with Vu Quang Trinh, Marwa Elnahass, Aly Salama
A novel forecasting model for the Baltic dry index utilizing optimal squeezing
published 2019 · Journal of Forecasting · 32 citations
Modelling systems with a mixture of I ( d ) and I ( 0 ) variables using the fractionally co-integrated VAR model
published 2019 · Economics Letters · 1 citations
with Xingzhi Yao, Zhenxiong Li
Forecasting realised volatility using ARFIMA and HAR models
published 2019 · Quantitative Finance · 27 citations
with M. Kabir Hassan, Vasileios Pappas, Mike Tsionas
Multivariate Stochastic Volatility with Large and Moderate Shocks
published 2019 · Journal of the Royal Statistical Society Series A (Statistics in Society)
Performance and productivity in Islamic and conventional banks: Evidence from the global financial crisis
published 2018 · Economic Modelling · 118 citations
with Christos Alexakis, Jill Johnes, Vasileios Pappas
Smooth approximations to monotone concave functions in production analysis: An alternative to nonparametric concave least squares
published 2018 · European Journal of Operational Research · 9 citations
Bayesian CV@R/super-quantile regression
published 2018 · Journal of Applied Statistics · 2 citations
A novel model of costly technical efficiency
published 2018 · European Journal of Operational Research · 6 citations
Forecasting using alternative measures of model‐free option‐implied volatility
published 2017 · Journal of Futures Markets · 5 citations
with Xingzhi Yao
Liquidity creation through efficient M&As: A viable solution for vulnerable banking systems? Evidence from a stress test under a panel VAR methodology
published 2017 · Journal of Banking & Finance · 21 citations
Changes in the global oil market
published 2016 · Energy Economics · 29 citations · first circulated 2015
with Erdenebat Bataa, Denise R. Osborn
Will the crisis “tear us apart”? Evidence from the EU
published 2015 · International Review of Financial Analysis · 11 citations
with Vasileios Pappas, Hilary Ingham, Gerry Steele
Examining the relationship between default risk and efficiency in Islamic and conventional banks
published 2014 · 144 citations
with Momna Saeed
Loan loss provisions, bank valuations and discretion: A comparative study between conventional and Islamic banks
published 2013 · 104 citations
with Marwa Elnahass, Omneya Abdelsalam
A comparison of performance of Islamic and conventional banks 2004–2009
published 2013 · 318 citations · first circulated 2012
with Jill Johnes, Vasileios Pappas
Recovering the moments of information flow and the normality of asset returns
published 2010 · Applied Financial Economics · 2 citations
with Anthony Murphy
On forecasting daily stock volatility: The role of intraday information and market conditions
published 2009 · International Journal of Forecasting · 101 citations · first circulated 2008
with Ana-María Fuertes, Elena Kalotychou
Bootstrapping long memory tests: Some Monte Carlo results
published 2008 · Computational Statistics & Data Analysis · 8 citations · first circulated 2006
with Aidan Murphy, Anthony Murphy
A guided tour of TSMod 4.03
published 2005 · Journal of Applied Econometrics · 4 citations
with Ana-María Fuertes, Anthony Murphy
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