Thomas Conlon

University College Dublin

Associate Professor of Banking and Finance

Smurfit Graduate Business School

Blackrock

Co. Dublin, n/a

Ireland

http://www.ucd.ie/bankingfinance/staff/drthomasconlon/

SCHOLARLY PAPERS

35

DOWNLOADS
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Top 10,675

in Total Papers Downloads

6,462

SSRN CITATIONS
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SSRN RANKINGS

Top 10,889

in Total Papers Citations

93

CROSSREF CITATIONS

19

Scholarly Papers (35)

1.

Machine Learning and Factor-Based Portfolio Optimization

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-6
Number of pages: 89 Posted: 20 Jul 2021 Last Revised: 22 Jul 2021
Thomas Conlon, John Cotter and Iason Kynigakis
University College Dublin, University College Dublin and University College Dublin
Downloads 792 (44,563)

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Autoencoder, covariance matrix, dimensionality reduction, factor models, machine learning, minimum-variance, principal component analysis, Partial least squares, portfolio optimization, sparse principal component analysis, sparse partial least squares

2.

Is Gold a Hedge Against Inflation? A Wavelet Time-Scale Perspective

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 57 Posted: 10 Oct 2015 Last Revised: 07 Oct 2017
Thomas Conlon, Brian M. Lucey and Gazi Salah Uddin
University College Dublin, Trinity Business School, Trinity College Dublin and Linkoping University - Department of Management and Engineering Division
Downloads 658 (56,812)
Citation 2

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Gold, Realized Inflation, Unexpected Inflation, Holding Period

3.

Safe Haven or Risky Hazard? Bitcoin during the COVID-19 Bear Market

Number of pages: 14 Posted: 27 Mar 2020 Last Revised: 18 May 2020
Thomas Conlon and Richard McGee
University College Dublin and Smurfit Business School
Downloads 642 (58,644)
Citation 45

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Bitcoin; Safe Haven; Downside Risk; COVID-19

4.

Anatomy of a Bail-In

Journal of Financial Stability, Vol. 15, 2014
Number of pages: 26 Posted: 16 Jul 2013 Last Revised: 10 Dec 2014
Thomas Conlon and John Cotter
University College Dublin and University College Dublin
Downloads 565 (68,967)
Citation 7

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Bank Resolution, Bail-In, European Bank Failure, Global Financial Crisis, Impairment Charges

5.

Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon

International Review of Financial Analysis, Vol. 41, 2015
Number of pages: 50 Posted: 21 Aug 2014 Last Revised: 31 Mar 2016
Don Bredin, Thomas Conlon and Valerio Potì
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin and University College Dublin
Downloads 381 (110,289)
Citation 15

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Downside Risk, Gold, Hedge, Horizon, Safe Haven, Wavelet Analysis

6.

Eurozone Bank Resolution and Bail-In -- Intervention, Triggers and Writedowns

Number of pages: 33 Posted: 14 Jan 2015
Thomas Conlon and John Cotter
University College Dublin and University College Dublin
Downloads 328 (130,051)
Citation 5

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Bail-In, Global Financial Crisis, Recapitalization, Triggers, Writedowns

7.

Asset Allocation with Correlation: A Composite Trade-Off

European Journal of Operational Research, Forthcoming
Number of pages: 40 Posted: 08 Apr 2017
Trinity College (Dublin), University College Dublin, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 284 (151,087)
Citation 2

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Decision Analysis, Optimization, Asset Allocation, Dynamic Correlation, Rebalancing & Transaction Costs

8.

Credit Default Swaps as Indicators of Bank Financial Distress

Journal of International Money and Finance, Vol. 94, pp. 132-139, 2019
Number of pages: 41 Posted: 06 Dec 2015 Last Revised: 14 Apr 2019
Davide E. Avino, Thomas Conlon and John Cotter
University of LiverpoolFinancial Mathematics and Computation Cluster, University College Dublin and University College Dublin
Downloads 203 (208,958)
Citation 3

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Bank Failure, Market Discipline, Credit Default Swap, CDS

Beyond Common Equity: The Influence of Secondary Capital on Bank Insolvency Risk

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-4
Number of pages: 60 Posted: 09 May 2018 Last Revised: 10 Feb 2020
University College Dublin, University College Dublin and University of SharjahUniversity of Sharjah - College of Business Administration
Downloads 131 (301,648)
Citation 1

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Regulatory Capital, Bank Risk, Regulatory Capital Arbitrage, Tier 1, Tier 2

Beyond Common Equity: The Influence of Secondary Capital on Bank Insolvency Risk

Journal of Financial Stability, 2020
Number of pages: 60 Posted: 01 Mar 2018 Last Revised: 10 Feb 2020
University College Dublin, University College Dublin and University of SharjahUniversity of Sharjah - College of Business Administration
Downloads 34 (620,799)

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Regulatory Capital, Bank Risk, Regulatory Capital Arbitrage, Tier 1, Tier 2

10.

ICO Fraud and Regulation

Batten-Corbet-Lucey Handbooks in Alternative Investments, Forthcoming
Number of pages: 16 Posted: 18 Feb 2021 Last Revised: 07 Sep 2021
Thomas Conlon and Richard McGee
University College Dublin and Smurfit Business School
Downloads 156 (261,997)

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ICO, regulation, tokens, cryptocurrency

11.

Commodity Futures Hedging, Risk Aversion and the Hedging Horizon

European Journal of Finance (Forthcoming)
Number of pages: 37 Posted: 13 Sep 2012 Last Revised: 07 Jan 2015
Thomas Conlon, John Cotter and Ramazan Gencay
University College Dublin, University College Dublin and Simon Fraser University
Downloads 150 (270,364)
Citation 5

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commodity markets, futures hedging, risk aversion, hedging horizon, wavelet analysis, selective hedging

12.

Long-Run International Diversification

Number of pages: 57 Posted: 05 Mar 2015 Last Revised: 20 Sep 2016
Thomas Conlon, John Cotter and Ramazan Gencay
University College Dublin, University College Dublin and Simon Fraser University
Downloads 138 (288,754)
Citation 3

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International Diversification, International Finance, Long-Run, Correlation

13.

Cross-Correlation Dynamics in Financial Time Series

Number of pages: 17 Posted: 11 Jan 2013
Thomas Conlon, Heather Ruskin and Martin Crane
University College Dublin, Dublin City University and Dublin City University
Downloads 138 (288,754)
Citation 1

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Cross-Correlation, Eigenspectrum Analysis

14.

Are Cryptocurrencies a Safe Haven for Equity Markets? An International Perspective from the COVID-19 Pandemic

Number of pages: 26 Posted: 19 May 2020 Last Revised: 18 Jun 2020
Thomas Conlon, Shaen Corbet and Richard McGee
University College Dublin, Dublin City University and Smurfit Business School
Downloads 136 (292,029)
Citation 16

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Cryptocurrency, Bitcoin, Ethereum, Tether, Safe Haven, Downside Risk, COVID-19

15.

Predictability and Good Deals in Emerging and Developed Currency Markets: The Role of Spot vs. Forward Speculation

Number of pages: 53 Posted: 12 Jun 2018
Richard M. Levich, Thomas Conlon and Valerio Potì
New York University (NYU) - Department of Finance, University College Dublin and University College Dublin
Downloads 135 (293,686)

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Predictability, Foreign Exchange, Filter Rules, Market Efficiency

16.

Co-Skewness Across Return Horizons

Journal of Financial Econometrics
Number of pages: 44 Posted: 07 Jan 2016 Last Revised: 01 Apr 2022
Thomas Conlon, John Cotter and Chenglu Jin
University College Dublin, University College Dublin and University College Dublin (UCD) - UCD School of Business
Downloads 131 (300,446)

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Co-Skewness, The Horizon Effect, Intertemporal Correlation, Asset Pricing

17.

The Price of Shelter - Downside Risk Reduction with Precious Metals

International Review of Financial Analysis, 2007, 49, 48-58
Number of pages: 34 Posted: 05 Apr 2016 Last Revised: 20 Feb 2020
Don Bredin, Thomas Conlon and Valerio Potì
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin and University College Dublin
Downloads 128 (305,774)
Citation 4

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Downside Risk, Precious Metals, Horizon, Safe Haven, Value-at-Risk

18.

Long-Run Wavelet-Based Correlation for Financial Time Series

European Journal of Operational Research - Forthcoming , Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-7
Number of pages: 41 Posted: 14 Jun 2018 Last Revised: 19 Sep 2018
Thomas Conlon, John Cotter and Ramazan Gencay
University College Dublin, University College Dublin and Simon Fraser University
Downloads 120 (320,495)

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Decision Analysis; Long-Run; Correlation; Wavelet; Portfolio Analysis

19.

Characteristic-Sorted Portfolios and Macroeconomic Risks - An Orthogonal Decomposition

Journal of Empirical Finance, Vol. 65, 2022, Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 22-2
Number of pages: 77 Posted: 17 Jul 2019 Last Revised: 08 Feb 2022
University of Minho, University of Hamburg and University College Dublin
Downloads 113 (334,322)
Citation 2

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characteristic factors, macroeconomic fundamentals, variance decomposition, quantile regression

20.
Downloads 107 (346,981)

Operational Risk Capital

Swiss Finance Institute Research Paper No. 20-55, Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-10
Number of pages: 71 Posted: 28 Jul 2020 Last Revised: 26 Oct 2020
Thomas Conlon, Xing Huan and Steven Ongena
University College Dublin, EDHEC Business School and University of Zurich - Department of Banking and Finance
Downloads 107 (349,296)

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Bank Regulation, Basel II, Measurement Approach, Monitoring, Operational Risk

Operational Risk Capital

CEPR Discussion Paper No. DP15096
Number of pages: 71 Posted: 28 Jul 2020 Last Revised: 16 Aug 2020
Thomas Conlon, Xing Huan and Steven Ongena
University College Dublin, EDHEC Business School and University of Zurich - Department of Banking and Finance
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Bank Regulation, Basel II, Measurement Approach, Monitoring, Operational Risk

21.

Enduring Relief or Fleeting Respite? Bitcoin as a Hedge and Safe Haven for the US Dollar

Number of pages: 33 Posted: 12 Jan 2021
Thomas Conlon, Shaen Corbet and Richard McGee
University College Dublin, Dublin City University and Smurfit Business School
Downloads 106 (349,212)
Citation 1

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Bitcoin, Currency, Hedge, Safe Haven, Wavelet, Quantile Coherency

22.

Does Corporate Hedging Enhance Shareholder Value? A Meta-Analysis

International Review of Financial Analysis, Forthcoming, Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-4
Number of pages: 35 Posted: 19 Dec 2018 Last Revised: 21 Feb 2019
Wolfgang Bessler, Thomas Conlon and Xing Huan
University of Hamburg, University College Dublin and EDHEC Business School
Downloads 101 (360,572)
Citation 2

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Corporate Hedging, Derivatives, Firm Value, Meta Analysis

23.

The Illusion of Oil Return Predictability: The Choice of Data Matters!

Journal of Banking and Finance, Vol. 134, No. 106331, 2022. DOI: https://doi.org/10.1016/j.jbankfin.2021.106331, Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-10
Number of pages: 50 Posted: 10 May 2021 Last Revised: 11 Feb 2022
Thomas Conlon, John Cotter and Emmanuel Eyiah-Donkor
University College Dublin, University College Dublin and Rennes School of Business
Downloads 91 (385,121)

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Averaged crude oil prices; Spurious autocorrelation; Return predictability; Out-of-sample forecasts; Statistical inference

24.

An Empirical Analysis of Dynamic Multiscale Hedging Using Wavelet Decomposition

Journal of Futures Markets, 32 (3):272-299
Number of pages: 28 Posted: 10 Feb 2011 Last Revised: 10 Dec 2014
Thomas Conlon and John Cotter
University College Dublin and University College Dublin
Downloads 91 (385,121)
Citation 3

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25.

Inflation and Cryptocurrencies Revisited: A Time-Scale Analysis

Economics Letters, Forthcoming
Number of pages: 10 Posted: 24 Jul 2021
Thomas Conlon, Richard McGee and Shaen Corbet
University College Dublin, Smurfit Business School and Dublin City University
Downloads 87 (395,806)

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Inflation Expectations, Bitcoin, Ethereum, Hedging, Wavelets, Cryptocurrencies.

26.

Energy Commodities Revealed through Hedging Characteristics: Evidence from Developing and Mature Markets

Number of pages: 40 Posted: 04 Sep 2015 Last Revised: 18 Dec 2015
Simon Spencer, Don Bredin and Thomas Conlon
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin (UCD) - Department of Banking & Finance and University College Dublin
Downloads 84 (404,262)
Citation 1

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Hedging, Corn, Ethanol, Renewable Fuel Standard, data set choice, model choice, 2013 corn harvest

27.

Measuring Excess-Predictability of Asset Returns and Market Efficiency over Time

Number of pages: 14 Posted: 02 Jan 2019
Richard M. Levich, Thomas Conlon and Valerio Potì
New York University (NYU) - Department of Finance, University College Dublin and University College Dublin
Downloads 71 (444,301)
Citation 1

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28.

What Drives the Profitability of Momentum Strategies?

Number of pages: 36 Posted: 02 Feb 2017 Last Revised: 18 Sep 2017
Thomas Conlon, Richard M. Levich and Valerio Potì
University College Dublin, New York University (NYU) - Department of Finance and University College Dublin
Downloads 67 (458,033)

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Predictability, Momentum, Reversal, Horizon, Safe Havens, Market Efficiency

29.

Downside Risk and the Energy Hedger's Horizon

Energy Economics, Vol. 36, 2013
Number of pages: 27 Posted: 13 Sep 2012 Last Revised: 05 Nov 2014
Thomas Conlon and John Cotter
University College Dublin and University College Dublin
Downloads 67 (458,033)
Citation 3

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energy hedging, futures hedging, wavelet transform, hedging horizon, downside risk

30.

Betting on Bitcoin: Does Gambling Volume on the Blockchain Explain Bitcoin Price Changes?

Number of pages: 10 Posted: 05 Aug 2019 Last Revised: 21 May 2020
Thomas Conlon and Richard McGee
University College Dublin and Smurfit Business School
Downloads 60 (483,899)
Citation 2

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Blockchain, Bitcoin, Gambling, Lottery

31.

Wavelet Multiscale Analysis for Hedge Funds: Scaling and Strategies

Number of pages: 13 Posted: 29 Aug 2017
Thomas Conlon, Martin Crane and Heather Ruskin
University College Dublin, Dublin City University and Dublin City University
Downloads 44 (553,046)
Citation 1

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Scaling, Cross-Correlation, Wavelets, Hedge Funds

32.

Beyond the Noise – Information Discovery in Bitcoin Revisited

Number of pages: 45 Posted: 30 Jun 2022
Thomas Conlon, Shaen Corbet, Greg Hou, Yang Hu and Les Oxley
University College Dublin, Dublin City University, University of Waikato - Management School, University of Waikato - Management School and University of Waikato - Department of Economics and Finance
Downloads 38 (589,175)

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Bitcoin; Futures; Information Shares; Price Discovery; DCC-GARCH.

33.

Scaling the Twin Peaks: Systemic Risk and Dual Regulation

Economics Letters, 2019
Number of pages: 14 Posted: 29 Mar 2019 Last Revised: 01 May 2019
Thomas Conlon and Xing Huan
University College Dublin and EDHEC Business School
Downloads 33 (612,192)
Citation 1

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bank regulation, financial stability, regulatory model, systemic risk

34.

Forecasting the Real Price of Oil: A Cautionary Note

Number of pages: 32 Posted: 16 Feb 2022
Thomas Conlon, John Cotter and Emmanuel Eyiah-Donkor
University College Dublin, University College Dublin and Rennes School of Business
Downloads 28 (643,672)

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Monthly average and end-of-month crude oil prices; Oil price predictability; Forecast combinations; Out-of-sample forecast performance; Hedging and investment decisions

Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks

Journal of Common Market Studies, Forthcoming
Number of pages: 30 Posted: 02 Jan 2019
Thomas Conlon and John Cotter
University College Dublin and University College Dublin
Downloads 24 (692,163)

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Resolution Planning; Bail-In; Bank Failure; Bank Subsidiaries

Subordinate Resolution ‐‐ an Empirical Analysis of European Union Subsidiary Banks

JCMS: Journal of Common Market Studies, Vol. 57, Issue 4, pp. 857-876, 2019
Number of pages: 20 Posted: 27 May 2020 Last Revised: 05 Oct 2020
Thomas Conlon and John Cotter
University College Dublin and University College Dublin
Downloads 0
Citation 1

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resolution planning, bail‐in, bank failure, bank subsidiaries