Research

There are two main strands to my research. The first strand addresses topics in banking that relate to efficiency, productivity and default risk. Here, my research contrasts the respective business models of Islamic and conventional banks. In taking a variety of perspectives, my work identifies characteristics that explain the observed resilience of Islamic banking following the (2008) financial crisis. This attracts interest, both domestically and internationally, from practitioners in finance and banking as well as from regulators. My research on efficiency and productivity extends beyond the comparison of Islamic and conventional banking models. Most, recently I have been looking at novel ways in measuring productivity and efficiency using Bayesian methods.

Another area of my expertise lies with the use of high frequency financial data to model and forecast volatility. High frequency data are recorded at ‘fine’ intervals of time: milliseconds, and seconds. Hence they can provide us with a closer look at the dynamics and the evolution of the price process and its components (i.e. continuous and discontinuous). My research in this area addresses several topics, including that of quantifying the information arrival process to markets and the discontinuities of the price process. This research is important in that it provides better understanding as to how markets respond to various intensity levels of information, not least during crisis episodes.

Currently I am engaged in various projects related to measuring efficiency and productivity in banking using Bayesian methods as well as developing novel techniques in measuring and modelling discontinuities in equity prices. My research is undertaken in collaboration with scholars from a variety of academic and financial institutions such as the University of Zurich, Cass Business School, Queen Mary University of London, Newcastle Business School, the University of New Orleans, Deutsche Bank and the Federal Reserve of Dallas.

My research has been published and cited in top field journals such as the journal of Royal Statistical society, European Journal of Operational Research, Journal of Banking and Finance, Journal of Economic behaviour and Organization, International Journal of Forecasting, Journal of Future Markets, Economic Letters, Journal of Forecasting, Quantitative Finance, Journal of Applied statistics, Energy Economics computational statistics and