Search Results - "Izzeldin, Marwan"

Examining the relationship between default risk and efficiency in Islamic and conventional banks by Saeed, Momna, Izzeldin, Marwan

“…We examine the relationship between efficiency and default risk in Islamic banks (IBs) and conventional banks (CBs) in Gulf Cooperation Countries (GCC) and…”
Get full text

A comparison of performance of Islamic and conventional banks 2004–2009 by Johnes, Jill, Izzeldin, Marwan, Pappas, Vasileios

“…We compare the efficiency of Islamic and conventional banks during the period 2004–2009 using data envelopment analysis (DEA) and meta-frontier analysis (MFA)…”
Get full text

Addressing endogeneity when estimating stochastic ray production frontiers: a Bayesian approach by Tsionas, Mike, Izzeldin, Marwan, Henningsen, Arne, Paravalos, Evaggelos

“…We propose a Bayesian approach for inference in the stochastic ray production frontier (SRPF), which can model multiple-input–multiple-output production…”
Get full text

On forecasting daily stock volatility: The role of intraday information and market conditions by Fuertes, Ana-Maria, Izzeldin, Marwan, Kalotychou, Elena

“…Several recent studies advocate the use of nonparametric estimators of daily price variability that exploit intraday information. This paper compares four such…”
Get full text

The impact of the Russian-Ukrainian war on global financial markets by Izzeldin, Marwan, Muradoğlu, Yaz Gülnur, Pappas, Vasileios, Petropoulou, Athina, Sivaprasad, Sheeja

“…On February 24, 2022, Russia invaded the Ukraine. In this paper, we analyze the response of European and global stock markets alongside a representative sample…”
Get full text

Obituary of Mike Tsionas (1965-2024)

Get full text

Forecasting the realized variance in the presence of intraday periodicity by Dumitru, Ana Maria H., Hizmeri, Rodrigo, Izzeldin, Marwan

Get full text

Loan loss provisions, bank valuations and discretion: A comparative study between conventional and Islamic banks by Elnahass, Marwa, Izzeldin, Marwan, Abdelsalam, Omneya

“…This study investigates the use of reported loan loss provisions (LLP) by investors in their valuations of banks within the Middle East and North Africa region…”
Get full text

The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model by Izzeldin, Marwan, Muradoğlu, Yaz Gülnur, Pappas, Vasileios, Sivaprasad, Sheeja

“…We investigate the impact of Covid-19 on stock markets across G7 countries and their business sectors. We highlight the synchronicity and severity of this…”
Get full text

When MIDAS Meets LASSO: The Power of Low-Frequency Variables in Forecasting Value-at-Risk and Expected Shortfall by Luo, Yi, Xue, Xiaohan, Izzeldin, Marwan

“…We propose a new framework for the joint estimation and forecasting of Value-at-Risk (VaR) and Expected Shortfall (ES) that integrates low-frequency variables…”
Get full text

A novel cluster HAR-type model for forecasting realized volatility by Yao, Xingzhi, Izzeldin, Marwan, Li, Zhenxiong

“…This paper proposes a cluster HAR-type model that adopts the hierarchical clustering technique to form the cascade of heterogeneous volatility components. In…”
Get full text

On the right jump tail inferred from the VIX market by Li, Zhenxiong, Yao, Xingzhi, Izzeldin, Marwan

“…This paper addresses the role of the right jump tail under the risk-neutral measure, as a proxy for fear-of-fear, in the return predictability implicit in the…”
Get full text

Multi‐stage stochastic frontier analysis for simple networks by Johnes, Geraint, Tsionas, Mike, Izzeldin, Marwan

“…We develop a method for modelling multi‐stage production using stochastic frontier analysis. This approach is suitable for the analysis of costs or output…”
Get full text

Forecasting using alternative measures of model‐free option‐implied volatility by Yao, Xingzhi, Izzeldin, Marwan

“…This paper evaluates the performance of various measures of model‐free implied volatility in predicting returns and realized volatility. The critical role of…”
Get full text

Estimation of large dimensional time varying VARs using copulas by Tsionas, Mike G., Izzeldin, Marwan, Trapani, Lorenzo

“…This paper provides a simple, yet reliable, alternative to the (Bayesian) estimation of large multivariate VARs with time variation in the conditional mean…”
Get full text

A Survival Analysis of Islamic and Conventional Banks by Pappas, Vasileios, Ongena, Steven, Izzeldin, Marwan, Fuertes, Ana-Maria

“…Are Islamic banks inherently more stable than conventional banks? We address this question by applying a survival analysis based on the Cox proportional hazard…”
Get full text

Efficiency convergence in Islamic and conventional banks by Izzeldin, Marwan, Johnes, Jill, Ongena, Steven, Pappas, Vasileios, Tsionas, Mike

“…•We compare the efficiency dynamics of Islamic and conventional banks across countries.•Steady state and convergence rates vary by bank type and by…”
Get full text

Board busyness, performance and financial stability: does bank type matter? by Trinh, Vu Quang, Elnahass, Marwa, Salama, Aly, Izzeldin, Marwan

“…This study examines the impact of board busyness (i.e. multiple directorships of outside board members) on the performance and financial stability of banks in…”
Get full text

Performance and productivity in Islamic and conventional banks: Evidence from the global financial crisis by Alexakis, Christos, Izzeldin, Marwan, Johnes, Jill, Pappas, Vasileios

“…We assess the performance and productivity of Islamic and conventional banks using financial ratios, a two- and a four-component meta-frontier Malmquist…”
Get full text

Return predictability of variance differences: A fractionally cointegrated approach by Li, Zhenxiong, Izzeldin, Marwan, Yao, Xingzhi

“…This paper examines the fractional cointegration between downside (upside) components of realized and implied variances. A positive association is found…”
Get full text