Research Output

Selected Publications and Working Papers by Topics:

Financial Econometrics

  • Dumitru, A. M. H., Hizmeri, R., & Izzeldin, M. (2019). Forecasting the Realized Variance in the Presence of Intraday Periodicity. Available at SSRN 3393464.
  • Hizmeri, R., & Izzeldin, M. (2020). Evaluating the Underlying Components of High Frequency Financial Data: Finite Sample Performance and Microstructure Noise Effects. Available at SSRN 3639110.
  • Hizmeri, R., Izzeldin, M., Murphy, A., & Tsionas, E. G. (2019). The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. Available at SSRN 3361972.
  • Hizmeri, R., Izzeldin, M., Nolte, I. (2020). Improving the Modelling and Forecasting of Realized Covariances using Common Jumps and Directional Common Jumps.
  • Hizmeri, R., Izzeldin, M., Nolte, I., & Pappas, V. (2019). A Generalized Heterogeneous Autoregressive Model using the Market Index. Available at SSRN 3496804.
  • Hizmeri, R., Izzeldin, M., & Tsionas, E. G. (2020). A Simple Model Correction for Modelling and Forecasting (Un)Reliable Volatility.
  • Izzeldin, M., Hassan, M. K., Pappas, V., & Tsionas, M. (2019). Forecasting realised volatility using ARFIMA and HAR models. Quantitative Finance, 19(10), 1627-1638.
  • Li, Z., Izzeldin, M., & Yao, X. Return predictability of variance differences: A fractionally cointegrated approach. Journal of Futures Markets.
  • Yao, X., Izzeldin, M., & Li, Z. (2019). A novel cluster HAR-type model for forecasting realized volatility. International Journal of Forecasting, 35(4), 1318-1331.
  • Yao, X., Izzeldin, M., & Li, Z. (2019). Modelling systems with a mixture of I (d) and I (0) variables using the fractionally co-integrated VAR model. Economics Letters, 181, 160-163.
  • Yao, X., & Izzeldin, M. (2018). Forecasting using alternative measures of model‐free option‐implied volatility. Journal of Futures Markets, 38(2), 199-218.

Bayesian Econometrics

  • Tsionas, M. G., & Andrikopoulos, A. (2020). On a High-Dimensional Model Representation method based on Copulas. European Journal of Operational Research, 284(3), 967-979.
  • Izzeldin, M., Tsionas, M. G., & Michaelides, P. G. (2019). Multivariate stochastic volatility with large and moderate shocks. Journal of the Royal Statistical Society: Series A (Statistics in Society), 182(3), 887-917.
  • Atkinson, S. E., Primont, D., & Tsionas, M. G. (2018). Statistical inference in efficient production with bad inputs and outputs using latent prices and optimal directions. Journal of Econometrics, 204(2), 131-146.
  • Makridakis, S., Merikas, A., Merika, A., Tsionas, M. G., & Izzeldin, M. (2020). A novel forecasting model for the Baltic dry index utilizing optimal squeezing. Journal of Forecasting, 39(1), 56-68.

Efficiency and Productivity

  • Tsionas, M. G., & Mallick, S. K. (2019). A Bayesian semiparametric approach to stochastic frontiers and productivity. European Journal of Operational Research, 274(1), 391-402.
  • Tsionas, M. G., & Polemis, M. L. (2019). On the estimation of total factor productivity: A novel Bayesian non-parametric approach. European Journal of Operational Research, 277(3), 886-902.
  • Delis, M., Iosifidi, M., & Tsionas, M. G. (2017). Endogenous bank risk and efficiency. European Journal of Operational Research, 260(1), 376-387.

Islamic Finance/Banking

  • Baltas, K. N., Kapetanios, G., Tsionas, E., & Izzeldin, M. (2017). Liquidity creation through efficient M&As: A viable solution for vulnerable banking systems? Evidence from a stress test under a panel VAR methodology. Journal of Banking & Finance, 83, 36-56.
  • Pappas, V., Ongena, S., Izzeldin, M., & Fuertes, A. M. (2017). A survival analysis of Islamic and conventional banks. Journal of Financial Services Research, 51(2), 221-256.
  • Johnes, J., Izzeldin, M., & Pappas, V. (2014). A comparison of performance of Islamic and conventional banks 2004–2009. Journal of Economic Behavior & Organization, 103, S93-S107.

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