Dr Marwan Izzeldin
EconomicsThe Management School
Other affiliations: Lancaster Centre for Forecasting, Gulf One Lancaster Centre for Economic 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.
BSc (University of Khartoum), MA Economics (University College Dublin), PhD in Finance (City University, Cass Business School)
Volatility Modelling and Forecasting, Measuring Dependency, Bootstrap Methods, Islamic Finance.
Economics 330: Econometrics.
Economics 403: Applied Econometrics.
Economics 420: Dissertation Module (Time Series Econometrics).
Economics: 411 & 461, Islamic Banking and Finance.
Economoics 804: Advanced Time series Econometrics.
Office HoursTuesday 4-5
- Financial Markets Synchronization and Contagion: Evidence from CEE and Eurozone
Pappas, V., Izzeldin, M. & Ingham, H. 2013 Lancaster : Lancaster University, Department of Economics, 27 p.
- Examining the relationship between default risk and efficiency in Islamic and conventional banks in the GCC and three non-GCC countries
Izzeldin, M. & Saeed, M. 2013
- A Survival Analysis of Islamic bank failure risk
Pappas, V., Izzeldin, M. & Fuertes, A. 30/05/2012 , 35 p.
- A comparison of performance of Islamic and conventional banks 2004 to 2009
Johnes, J., Izzeldin, M. & Pappas, V. 2012 , (Lancaster University Management School Working Paper Series), 45 p.
- 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.