Details about Thomas Conlon

Access statistics for papers by Thomas Conlon.

Last updated 2023-12-05. Update your information in the RePEc Author Service.

Short-id: pco913

Working Papers

2022

1. Co-skewness across Return Horizons
   Working Papers, Geary Institute, University College Dublin
   Also in Working Papers, Geary Institute, University College Dublin (2019)
   See also Journal Article Co-Skewness across Return Horizons*, Journal of Financial Econometrics, Oxford University Press (2023) (2023)
2. The illusion of oil return predictability: The choice of data matters!
   Post-Print, HAL View citations (7)
   See also Journal Article The illusion of oil return predictability: The choice of data matters!, Journal of Banking & Finance, Elsevier (2022) View citations (6) (2022)

2021

3. Machine Learning and Factor-Based Portfolio Optimization
   Working Papers, Geary Institute, University College Dublin
   Also in Papers, arXiv.org (2021)

2020

4. Operational Risk Capital
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2020)

2018

5. Beyond Common Equity - The Influence of Secondary Capital on Bank Insolvency Risk
   Working Papers, Geary Institute, University College Dublin
   See also Journal Article Beyond common equity: The influence of secondary capital on bank insolvency risk, Journal of Financial Stability, Elsevier (2020) View citations (10) (2020)

2016

6. Credit Default Swaps as Indicators of Bank financial Distress
   Working Papers, Geary Institute, University College Dublin View citations (2)
   See also Journal Article Credit default swaps as indicators of bank financial distress, Journal of International Money and Finance, Elsevier (2019) View citations (14) (2019)
7. The Intervaling Effect on Higher-Order Co-Moments
   Working Papers, Geary Institute, University College Dublin

2015

8. Long-run international diversification
   Working Papers, Geary Institute, University College Dublin View citations (1)
9. Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks
   Working Papers, Geary Institute, University College Dublin View citations (4)
   See also Journal Article Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks, Journal of Common Market Studies, Wiley Blackwell (2019) View citations (5) (2019)

2014

10. Anatomy of a Bail-In
    Papers, arXiv.org View citations (29)
    Also in Working Papers, Geary Institute, University College Dublin (2014) View citations (29)
    See also Journal Article Anatomy of a bail-in, Journal of Financial Stability, Elsevier (2014) View citations (29) (2014)

2012

11. Commodity futures hedging, risk aversion and the hedging horizon
    Working Papers, Geary Institute, University College Dublin View citations (19)
    See also Journal Article Commodity futures hedging, risk aversion and the hedging horizon, The European Journal of Finance, Taylor & Francis Journals (2016) View citations (35) (2016)
12. Downside risk and the energy hedger's horizon
    Working Papers, Geary Institute, University College Dublin
    See also Journal Article Downside risk and the energy hedger's horizon, Energy Economics, Elsevier (2013) View citations (28) (2013)

2011

13. An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition
    Working Papers, Geary Institute, University College Dublin View citations (1)
    Also in Papers, arXiv.org (2011) View citations (1)
    See also Journal Article An empirical analysis of dynamic multiscale hedging using wavelet decomposition, Journal of Futures Markets, John Wiley & Sons, Ltd. (2012) View citations (35) (2012)

2010

14. Cross-Correlation Dynamics in Financial Time Series
    Papers, arXiv.org View citations (1)
    See also Journal Article Cross-correlation dynamics in financial time series, Physica A: Statistical Mechanics and its Applications, Elsevier (2009) View citations (22) (2009)
15. Multiscaled Cross-Correlation Dynamics in Financial Time-Series
    Papers, arXiv.org View citations (1)
    See also Journal Article MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES, Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd. (2009) View citations (13) (2009)
16. Random Matrix Theory and Fund of Funds Portfolio Optimisation
    Papers, arXiv.org
    See also Journal Article Random matrix theory and fund of funds portfolio optimisation, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) View citations (20) (2007)

Journal Articles

2024

1. Bitcoin forks: What drives the branches?
   Research in International Business and Finance, 2024, 69, (C)
2. Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX
   Journal of International Financial Markets, Institutions and Money, 2024, 91, (C) View citations (1)
3. Diversification with globally integrated US stocks
   Journal of International Financial Markets, Institutions and Money, 2024, 90, (C) View citations (1)
4. Does national culture influence malfeasance in banks around the world?
   Journal of International Financial Markets, Institutions and Money, 2024, 90, (C)
5. Enduring relief or fleeting respite? Bitcoin as a hedge and safe haven for the US dollar
   Annals of Operations Research, 2024, 337, (1), 45-73
6. Financial market information flows when counteracting rogue states: The indirect effects of targeted sanction packages
   Journal of Economic Behavior & Organization, 2024, 217, (C), 32-62 View citations (1)
7. Forecasting the price of oil: A cautionary note
   Journal of Commodity Markets, 2024, 33, (C)
8. Seeking a shock haven: Hedging extreme upward oil price changes
   International Review of Financial Analysis, 2024, 94, (C)
9. The Bitcoin volume-volatility relationship: A high frequency analysis of futures and spot exchanges
   International Review of Financial Analysis, 2024, 91, (C) View citations (3)

2023

10. A financial modeling approach to industry exchange-traded funds selection
    Journal of Empirical Finance, 2023, 74, (C)
11. Co-Skewness across Return Horizons*
    Journal of Financial Econometrics, 2023, 21, (5), 1483-1518
    See also Working Paper Co-skewness across Return Horizons, Working Papers (2022) (2022)
12. Composite jet fuel cross-hedging
    Journal of Commodity Markets, 2023, 30, (C)
13. Understanding the FTX exchange collapse: A dynamic connectedness approach
    Finance Research Letters, 2023, 53, (C) View citations (13)

2022

14. Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition
    Journal of Empirical Finance, 2022, 65, (C), 24-50
15. Mutual fund performance and changes in factor exposure
    Journal of Financial Research, 2022, 45, (1), 17-52 View citations (4)
16. The illusion of oil return predictability: The choice of data matters!
    Journal of Banking & Finance, 2022, 134, (C) View citations (6)
    See also Working Paper The illusion of oil return predictability: The choice of data matters!, Post-Print (2022) View citations (7) (2022)

2021

17. Inflation and cryptocurrencies revisited: A time-scale analysis
    Economics Letters, 2021, 206, (C) View citations (27)

2020

18. Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic
    Research in International Business and Finance, 2020, 54, (C) View citations (222)
19. Betting on Bitcoin: Does gambling volume on the blockchain explain Bitcoin price changes?
    Economics Letters, 2020, 191, (C) View citations (6)
20. Beyond common equity: The influence of secondary capital on bank insolvency risk
    Journal of Financial Stability, 2020, 47, (C) View citations (10)
    See also Working Paper Beyond Common Equity - The Influence of Secondary Capital on Bank Insolvency Risk, Working Papers (2018) (2018)
21. Predictability and pricing efficiency in forward and spot, developed and emerging currency markets
    Journal of International Money and Finance, 2020, 107, (C) View citations (1)
22. Safe haven or risky hazard? Bitcoin during the Covid-19 bear market
    Finance Research Letters, 2020, 35, (C) View citations (340)

2019

23. Credit default swaps as indicators of bank financial distress
    Journal of International Money and Finance, 2019, 94, (C), 132-139 View citations (14)
    See also Working Paper Credit Default Swaps as Indicators of Bank financial Distress, Working Papers (2016) View citations (2) (2016)
24. Does corporate hedging enhance shareholder value? A meta-analysis
    International Review of Financial Analysis, 2019, 61, (C), 222-232 View citations (13)
25. Measuring excess-predictability of asset returns and market efficiency over time
    Economics Letters, 2019, 175, (C), 92-96 View citations (10)
26. Scaling the twin peaks: Systemic risk and dual regulation
    Economics Letters, 2019, 178, (C), 98-101 View citations (3)
27. Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks
    Journal of Common Market Studies, 2019, 57, (4), 857-876 View citations (5)
    See also Working Paper Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks, Working Papers (2015) View citations (4) (2015)

2018

28. Energy and agricultural commodities revealed through hedging characteristics: Evidence from developing and mature markets
    Journal of Commodity Markets, 2018, 9, (C), 1-20 View citations (8)
29. Is gold a hedge against inflation? A wavelet time-scale perspective
    Review of Quantitative Finance and Accounting, 2018, 51, (2), 317-345 View citations (30)
30. Long-run wavelet-based correlation for financial time series
    European Journal of Operational Research, 2018, 271, (2), 676-696 View citations (12)

2017

31. Asset allocation with correlation: A composite trade-off
    European Journal of Operational Research, 2017, 262, (3), 1164-1180 View citations (20)
32. The price of shelter - Downside risk reduction with precious metals
    International Review of Financial Analysis, 2017, 49, (C), 48-58 View citations (47)

2016

33. Commodity futures hedging, risk aversion and the hedging horizon
    The European Journal of Finance, 2016, 22, (15), 1534-1560 View citations (35)
    See also Working Paper Commodity futures hedging, risk aversion and the hedging horizon, Working Papers (2012) View citations (19) (2012)

2015

34. Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon
    International Review of Financial Analysis, 2015, 41, (C), 320-328 View citations (162)

2014

35. Anatomy of a bail-in
    Journal of Financial Stability, 2014, 15, (C), 257-263 View citations (29)
    See also Working Paper Anatomy of a Bail-In, Papers (2014) View citations (29) (2014)

2013

36. Downside risk and the energy hedger's horizon
    Energy Economics, 2013, 36, (C), 371-379 View citations (28)
    See also Working Paper Downside risk and the energy hedger's horizon, Working Papers (2012) (2012)

2012

37. An empirical analysis of dynamic multiscale hedging using wavelet decomposition
    Journal of Futures Markets, 2012, 32, (3), 272-299 View citations (35)
    See also Working Paper An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition, Working Papers (2011) View citations (1) (2011)

2009

38. Cross-correlation dynamics in financial time series
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (5), 705-714 View citations (22)
    See also Working Paper Cross-Correlation Dynamics in Financial Time Series, Papers (2010) View citations (1) (2010)
39. MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES
    Advances in Complex Systems (ACS), 2009, 12, (04n05), 439-454 View citations (13)
    See also Working Paper Multiscaled Cross-Correlation Dynamics in Financial Time-Series, Papers (2010) View citations (1) (2010)

2008

40. Wavelet multiscale analysis for Hedge Funds: Scaling and strategies
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (21), 5197-5204 View citations (12)

2007

41. Random matrix theory and fund of funds portfolio optimisation
    Physica A: Statistical Mechanics and its Applications, 2007, 382, (2), 565-576 View citations (20)
    See also Working Paper Random Matrix Theory and Fund of Funds Portfolio Optimisation, Papers (2010) (2010)

Chapters

2023

1. Distilling a Disruptive Disintermediary’s Data: Interpretable Machine-Learning Explanations for LendingClub Customers
   Chapter 5 in FinTech Research and Applications Challenges and Opportunities, 2023, pp 205-233