Dr Marwan Izzeldin
BSc (University of Khartoum), MA Economics (University College Dublin), PhD in Finance (City University, Cass Business School)
Lecturer
Department
Economics
Current Teaching
Econ 101 & 102: Foundations of Economics, Econ 330: Econometrics, Econ 403: Statistics & Research Methods,Econ 418: Financial Economics, Islamic Finance
Research Interests
Volatility Modelling and Forecasting, Measuring Dependency, Bootstrap Methods, Islamic Finance.
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.
Publications
- Izzeldin M, 2011, 'Recovering the moments of information flow and normality of asset returns', Finance Research Letters
View details - Johnes Jill, Izzeldin M and Pappas V, 2009, 'The efficiency of Islamic and conventional banks in the Gulf Cooperation Council (GCC) countries: An analysis using financial ratios and data envelopment analysis', Economics Working Paper Series
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View PDF - Izzeldin M, Fuertes A M and Kalotychou E, 2008, 'On forecasting daily stock volatility: the role of intraday information and market conditions', Economics Working Paper Series
View details | View PDF - Izzeldin M, 2007, 'Trading volume and the number of trades: a comparative study using high frequency data', Economics Working Paper Series
View details | View PDF - Izzeldin M, Fuertes A M and Murphy A, 2005, 'A guided tour of TSMod 4.03', Journal of Applied Econometrics, vol 20, no. 5, pp. 691-698.
View details - Izzeldin M and Murphy A, 2000, 'Bootstrapping the small sample critical values of the rescaled range statistic', The Economic and Social Review, vol 31, no. 4, pp. 351-359.
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