Publications
Journal Articles
2020
- Guasoni, Paolo, and Kwok Chuen Wong. "Asset prices in segmented and integrated markets." Finance and Stochastics(2020): 1-42.
- Goyal, Abhinav, Shrikant P. Jategaonkar, and Cal B. Muckley. "Why do privatized firms pay higher dividends?." Journal of Corporate Finance 60 (2020): 101493.
- Guasoni, Paolo, Gur Huberman, and Dan Ren. "Shortfall aversion." Mathematical Finance 30.3 (2020): 869-920.
- Chen, Jiayuan, Di Gong, and Cal Muckley. "Stock market illiquidity, bargaining power and the cost of borrowing." Journal of Empirical Finance (2020).
- Conlon, Thomas, and Richard McGee. "Safe haven or risky hazard? Bitcoin during the COVID-19 bear market." Finance Research Letters (2020):101607.
- Conlon, Thomas, Shaen Corbet, and Richard J. McGee. "Are Cryptocurrencies a Safe Haven for Equity Markets? An International Perspective from the COVID-19 Pandemic." Research in International Business and Finance (2020):101248.
- Dechezleprêtre, Antoine, Cal B. Muckley, and Parvati Neelakantan. "Is firm-level clean or dirty innovation valued more?." The European Journal of Finance (2020): 1-31.
- Guasoni, Paolo, Eberhard Mayerhofer, and Mingchuan Zhao. "Minimal L^ p-Densities with Prescribed Marginals." Bernoulli, (2020), forthcoming.
- O'Sullivan, Conall, and Vassilios G. Papavassiliou. “On the term structure of liquidity in the European sovereign bond market”. In Press: Journal of Banking and Finance, 2020.
- Thomas Conlon, John Cotter, and Philip Molyneux, “Beyond Common Equity: The Influence of Secondary Capital on Bank Risk”, Journal of Financial Stability, 2020, 47, 100732.
- Thomas Conlon, Richard Levich and Valerio Poti, “Predictability and Pricing Efficiency in Developed and Emerging Currency Markets”, Journal of International Money and Finance, 2020, Forthcoming.
- Paolo Guasoni and Gu Wang, “Consumption in Incomplete Markets”, Finance and Stochastics, 2020. forthcoming.
- Paolo Guasoni and Marko Weber: Nonlinear Price Impact and Portfolio Choice, Mathematical Finance, forthcoming.
- Clare Branigan, Cal B. Muckley and Paul Ryan. “Getting it right or getting it cursed: auction prices in a residential real estate bubble”, European Financial Management, 2020.
- Thomas Conlon and Richard J.McGee, “Betting on Bitcoin: Does gambling volume on the blockchain explain Bitcoin price changes?” Economics Letters.
- Paolo Guasoni and Maxim Bichuch, “The Learning Premium”, Mathematics and Financial Economics, forthcoming.
2019
- Cotter, John, and Anita Suurlaht. (2019)"Spillovers in risk of financial institutions." The European Journal of Finance (2019): 1-28.
- Paolo Guasoni, Antonella Tolomeo, Gu Wang, (2019) “Should Commodity Investors Follow Commodities' Prices? SIAM Journal on Financial Mathematics, 10 (2019) no. 2 p. 466-490.
- Paolo Guasoni, Yu-Jui Huang, (2019) “Consumption, Investment, and Healthcare with Aging” Finance and Stochastics, Finance and Stochastics, 23 (2019) no. 2 p. 313-358.
- Guasoni, Paolo, and Gu Wang. (2019) “Consumption and Investment with Interest Rate Risk”, Journal of Mathematical Analysis and Applications, 476 (2019) no. 1 p. 215-239.
- Paolo Guasoni and Eberhard Mayerhofer “Options Portfolio Selection”, Operations Research, forthcoming.
- Paolo Guasoni, Zsolt Nika and Miklos Rasonyi: Trading Fractional Brownian Motion, SIAM Journal on Financial Mathematics, forthcoming.
- Paolo Guasoni and Andrea Meireles Rodrigues (2019) “Reference Dependence and Market Participation”, Mathematics of Operations Research, forthcoming.
- Simon Spencer and Don Bredin, (2019) “Agreement matters: OPEC announcement effects on WTI term structure”, Energy Economics, 80: 589-609.
- Conlon, Thomas; Poti, Valerio; Levich, Richard (2019) “Measuring excess-predictability of asset returns and market efficiency over time”. Economics Letters, 175, 92-96.
- Conlon,Thomas; Cotter, John (2019) “Subordinate Resolution – An Empirical Analysis of European Union Subsidiary Banks”. Journal of Common Market Studies, 57:857-876.
- Avino, Davide; Thomas Conlon, and Cotter, John (2019) “Credit Default Swaps as Indicators of Bank Financial Distress Journal of International Money and Finance 94 (2019): 132-139.
- Conlon, Thomas, and Xing Huan. (2019) "Scaling the twin peaks: Systemic risk and dual regulation." Economics Letters 178 (2019): 98-101.
- Marco Bianco and Andrea Gamba (2019), “Inventory and Corporate Risk Management”, The Review of Corporate Finance Studies, 8(1).
- Guasoni, Paolo, and Ali Sanjari. (2019) "Liquidation with nonlinear float‐dependent price impact." High Frequency 2, no. 2 (2019): 85-94.
- Guasoni, Paolo, Ren Liu, and Johannes Muhle-Karbe. (2019) "Who should sell stocks?" Mathematical Finance, 29 (2019) no.2 p.448-482.
- Guasoni, Paolo, and Eberhard Mayerhofer. (2019) “The limits of leverage." Mathematical Finance, 29 (2019) no.1 p.249-284.
- Bessler, Wolfgang, Thomas Conlon, and Xing Huan. (2019) "Does corporate hedging enhance shareholder value? A meta-analysis." International Review of Financial Analysis 61 (2019): 222-232.
- Yin, Zheng, Anthony Brabazon, Conall O’Sullivan, and Philip A. Hamill. (2019)"A genetic programming approach for delta hedging." Genetic Programming and Evolvable Machines 20, no. 1 (2019): 67-92.
2018
- Deven Bathia and Don Bredin (2018) “Investor sentiment: Does it augment the performance of asset pricing models?” Volume 59, Pages 290-303, International Review of Financial Analysis, October 2018.
- Afonin, Alex, Don Bredin, Cal B. Muckley, and Dirk Nitzsche. (2018) "Carbon Portfolio Management." International Journal of Finance and Economics, International Journal of Finance and Economics, Volume 23, Issue 4, 349-361. October 2018.
- Don Bredin and Stilianos Fountas (2018) “US inflation and inflation uncertainty over 200 years”, Financial History Review, 25(2), 141-159, August 2018.
- Conlon, Thomas, John Cotter, and Ramazan Gençay. "Long-run wavelet-based correlation for financial time series." European Journal of Operational Research 271, no. 2 (2018): 676-696.
- La Monaca, S., Assereto, M. and Byrne, J. (2018) “Clean energy investing in public capital markets: Portfolio benefits of yieldcos”. Energy Policy, 121:383-393.
- Paolo Guasoni and Marko Weber, (2018) “Rebalancing Multiple Assets with Mutual Price Impact”, Journal of Optimization Theory and Applications, November 2018, Volume 179, Issue 2, pp 618–653.
- Conlon, Thomas, Cotter, John and Gencay, Ramazan (2018) “Long-Run Wavelet-Based Correlation for Financial Time Series”. European Journal of Operational Research, 271 :676-696.
- Bredin, Don, Conlon, Thomas and Spencer, Simon (2018) “Energy and agricultural commodities revealed through hedging characteristics: Evidence from developing and mature markets”. Journal of Commodity Markets, 9 :1-20.
2017
- Byrne, J. and O'Connor, T. “How do creditors respond to disclosure quality? Evidence from corporate dividend payouts”, Journal of International Financial Markets, Institutions and Money (2017)
- Byrne, J. and O'Connor, T. “Creditor rights, culture and dividend payout policy”. Journal of Multinational Financial Management, (2017) 39 (1):60-77.
- Carroll, Rachael, Thomas Conlon, John Cotter, and Enrique Salvador. "Asset allocation with correlation: A composite trade-off." European Journal of Operational Research 262, no. 3 (2017): 1164-1180.
- Conlon, Thomas, Brian M. Lucey, and Gazi Salah Uddin. "Is gold a hedge against inflation? A wavelet time-scale perspective." Review of Quantitative Finance and Accounting (2017): 1-29.
- Spencer, Simon, Don Bredin, and Thomas Conlon. "Energy and agricultural commodities revealed through hedging characteristics: Evidence from developing and mature markets." Journal of Commodity Markets 9 (2018): 1-20.
- Chen, Jiayuan, Cal B. Muckley, and Don Bredin. "Is information assimilated at announcements in the European carbon market?" Energy Economics 63 (2017): 234-247. 49) Bichuch, Maxim, and Paolo Guasoni. "Investing with liquid and illiquid assets." Mathematical Finance 28 (2018) no. 1 p. 119-152.
- Guasoni, Paolo, and Marko Weber. "Dynamic trading volume." Mathematical Finance 27, no. 2 (2017): 313-349.
- Guasoni, Paolo, Johannes Muhle‐Karbe, and Hao Xing. "Robust Portfolios and Weak Incentives in Long‐Run Investments." Mathematical Finance 27, no. 1 (2017): 3-37.
- Cotter, John, Emmanuel Eyiah-Donkor, and Valerio Potì. "Predictability and diversification benefits of investing in commodity and currency futures." International Review of Financial Analysis 50 (2017): 52-66.
- O'Sullivan, Conall, and Vassilios G. Papavassiliou. "Measuring and Analyzing Liquidity and Volatility Dynamics in the Euro-Area Government Bond Market." Handbook of Global Financial Markets: Transformations,Dependence, and Risk Spillovers, World Scientific Publishing (2018).
- Byrne, J. (2017) Review in ‘Handbook on Energy and Climate Change’, Energy Journal 38(2):229-231.
Book Chapters
2018
- O'Sullivan, Conall, and Vassilios G. Papavassiliou. "Measuring and Analyzing Liquidity and Volatility Dynamics in the Euro-Area Government Bond Market." Handbook of Global Financial Markets: Transformations, Dependence, and 12) Risk Spillovers, World Scientific Publishing (2018).
Presentations
2020
- Cotter, John; Mark Hallam and Kamil Yilmaz, Macro-Financial Spillovers, European Securities and Markets Authority (Virtual Seminar), June 2020.
- Cotter, John; Mark Hallam and Kamil Yilmaz, Macro-Financial Spillovers, Vienna University of Economics and Business (Virtual Seminar), May 2020.
- Illia Kovalenko, “Portfolio optimization with Stochastic Dominance constraints based on Options and Copulas”, VAR Research Day, 27th May 2020
- Xuanyu Yue, “Decomposition of aircraft-related carbon emissions for intra-Europe routes”, VAR Research Day, 27th May 2020
- Yuting Chen, “Narratives During the COVID-19 Outbreak”, VAR Research Day, 27th May 2020
- Ferdinantos Kottas, “Factor Structure of Green and Red Securities”, VAR Research Day, 27th May 2020
- Kushagra Jain, “Are international diversification benefits illusory & transient?”, VAR Research Day, 27th May 2020
- Diego Perez Guisande, “Information Asymmetries to Panel Banks Who Contribute to the Setting of Benchmark Interest Rates”, VAR Research Day, 27th May 2020
- Yan Wang, “Model-free Measures and Unspanned Tails”, VAR Research Day, 27th May 2020
- Parvati Neelakantan, “Do US firms have sufficient incentive to invest in clean technology?”, VAR Research Day, 27th May 2020
- Huanyuan Dong, “Rogue Traders”, VAR Research Day, 27th May 2020
- Emmanuel Erem, “Investigating Effects of Conventional and Unconventional Monetary Policy Shocks”, VAR Research Day, 27th May 2020
- Ioannis Ropotos, “Market Integration across US Firms: An Institutional Ownership Perspective”, VAR Research Day, 27th May 2020
- Yuting Chen, Don Bredin, Sha Liu and Valerio Poti, “Sentiment-augmented bubble detection and prediction” in Fintech Workshop in Central Bank of Ireland 18 February 2020.
- Thomas Conlon, “Operational Risk Capital”, 2nd Swiss Accounting Research Alpine Camp, Switzerland, February 2020.
- Thomas Conlon, “Operational Risk Capital”, University of Reading, January 2020.
2019
- Yuting Chen, Don Bredin, Sha Liu and Valerio Poti, “Sentiment-augmented bubble detection and prediction” in UCD College of Business Research Symptom 18 December 2019.
- Yan Wang, “Option Implied Tail Risk and Expected Stock Returns”, VAR Research Day, 04 December 2019.
- Mohamad Faour, “Is no news good news? The case of no-change dividend announcements”, VAR Research Day, 04 December 2019.
- Yuting Chen, “Sentiment-augmented bubble detection and prediction”, VAR Research Day, 04 December 2019.
- XuanYu Yue, “Identifying the key determinants of air passenger demand-Evidence from European air routes”, VAR Research Day, 04 December 2019.
- Parvati Neelakantan, “Is firm-level clean or dirty innovation valued more?”, VAR Research Day, 04 December 2019.
- Huayuan Dong, “Rogue Traders”, VAR Research Day, 04 December 2019.
- Ferdinantos Kottas, “Factor Strcture of Green and Red Securities”, VAR Research Day, 04 December 2019.
- Emmanuel Erem, “Investigating De facto and De jure exchange rate regimes”, VAR Research Day, 04 December 2019.
- Illia Kovalenko, “Portfolio optimizatioin based on Stochastic Dominance: A forward looking approach”, VAR Research Day, 04 December 2019.
- Conall O’Sullivan, “Limites-to-arbitrage and ex-dividend day stock returns in European markets”, VAR Research Day, 04 December 2019.
- Anand, Abhinav and John Cotter, Integration Among US Banks, Irish Academy of Finance Annual Conference, Cork, November. 2019.
- John Cotter; Emmanuel Eyiah-Donkor and Valerio Poti, 2019, Commodity Return Predictability: Economic Value and Links to the Real Economy, 2019 FMA Annual Meeting, 23 - 26 October 2019, New Orleans, LA.
- John Cotter, Mohamad Faour and Cal Muckley, Is no news good news? The case of no-change dividend announcements, Irish Academy of Finance Conference, University College Cork, November 2019.
- John Cotter, Stuart Gabriel and Richard Roll, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, Helsinki Finance Seminar, Graduate School of Finance (GSF), Aalto University School of Business, September 2019.
- Parvati Neelakantan, “Is firm-level clean or dirty innovation valued more?”, 2019 International Conference on Fintech and Financial Data Science, 2019.
- Parvati Neelakantan, “Is firm-level clean or dirty innovation valued more?”, 18th International Conference on Credit Risk Evaluation Designed for Institutional Targeting in Finance, 2019.
- Gregory Connor, “Semi-strong Factors in Asset Returns”, UCD Smurfit seminar series, 2019.
- Gregory Connor, “Semi-strong Factors in Asset Returns”, Irish Academy of Finance Conference, University College Cork, November 2019.
- Thomas Conlon; Huan, Xing; Ongena, Steven (2019) ‘Operational Risk Capital’, Central Bank of Ireland, July 2019.
- Thomas Conlon; Fabrizi, Michele; Huan, Xing (2019) ‘CSR and Financial Services Misconduct Risk’, Central Bank of Ireland, July 2019.
- Thomas Conlon; Fabrizi, Michele; Huan, Xing (2019) ‘CSR and Financial Services Misconduct Risk’, Operational Risk Consortium, July 2019.
- Thomas Conlon, Crude Oil Predictability Revisited”, 13th International Conference on Computational and Financial Economics, London, UK (Dec 2019)
- Thomas Conlon “Fundamental factor models and macroeconomic risks – An orthogonal Decomposition”, New Zealand Finance Meeting, Auckland, New Zealand (Dec 2019)
- Thomas Conlon “Fundamental factor models and macroeconomic risks – An orthogonal Decomposition”, The Australasian Finance and Banking Conference, Sydney, Australia (Dec 2019)
-
Thomas Conlon “Mutual Fund Performance and Changes in Factor Exposures”, Irish Academy of Finance, Cork, Ireland. (Nov. 2019).
-
Thomas Conlon “Mutual Fund Performance and Changes in Factor Exposures”, Financial Management Association Annual Meeting, New Orleans, USA. (Oct. 2019).
-
Cotter, John; Emmanuel Eyiah-Donkor and Valerio Poti, 2019, Commodity Return Predictability: Economic Value and Links to the Real Economy, European Financial Management Association 2019 Annual Conference, June 26– June 29, University of the Azores, Ponta Delgada, S. Miguel Island, Azores.
-
Cotter, John; Emmanuel Eyiah-Donkor and Valerio Poti, 2019, Commodity Return Predictability: Economic Value and Links to the Real Economy, and the International Association for Applied Econometrics 2019 Conference in Nicosia, Cyprus.
-
Conlon, Thomas, Cotter, John and Emmanuel Eyiah-Donkor, 2019, Crude Oil Return Predictability Revisited, Forecasting Financial Markets Conference 2019 in Venice, Rome.
-
Conlon, Thomas, Cotter, John and Emmanuel Eyiah-Donkor, 2019, Crude Oil Return Predictability Revisited, 2019 INFINITI conference, Glasgow.
-
Cotter, John; Mohamad Faour, and Cal Muckley, 2019, Do Dividend Cuts and Omissions Signal Default Risk? European Financial Management Association 2019 Annual Conference, June 26 – June 29, University of the Azores, Ponta Delgada, S. Miguel Island, Azores.
-
Cotter, John; Henk von Eije, Mohamad Faour, and Cal Muckley, 2019, Investor Anticipation and the Stock Price Reaction to Dividend Initiations and Omissions, Financial Management Association, 2019 European Conference, 12- 14 June 2019 | Glasgow, Scotland.
-
Cotter, John; Mohamad Faour, and Cal Muckley, 2019, Do Dividend Cuts and Omissions Signal Default Risk? British Accounting and Finance Association 8 - 10 April, University of Birmingham, England.
-
Cotter, John, Stuart Gabriel and Richard Roll, 2019, Macro-Financial Spillovers, Aarhus University, March.
-
Cotter, John, Stuart Gabriel and Richard Roll, 2019, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, Edinburgh University, March.
-
Cotter, John, Stuart Gabriel and Richard Roll, 2019, Macro-Financial Spillovers, 2019, Groningen University, March.
-
Cotter, John, Stuart Gabriel and Richard Roll, 2019, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, USC Marshall, UCI-UCLA-USC Urban Research Symposium, April.
-
C.B. Muckley, A Goyal, Jun Qian and H Tehranian, “Investment and Deleveraging Financed by Dividends: Evidence from Japanese Business Groups” on Financial Management Association International, Glasgow 12-14 June 2019.
-
C.B. Muckley, T Conlon and X Huan, “Does national culture influence malfeasance in banks around the world?” on International Finance and Banking Society annual meeting, Angers France June 27-29.
-
Conlon, Thomas, Huan, Xing, Ongena, Steven, “Operational Risk Capital”, Central Bank of Ireland, July 2019.
-
Conlon, Thomas, Fabrizi, Michele, Huan, Xing, “CSR and Financial Services Misconduct Risk”, Central Bank of Ireland, July 2019.
-
Conlon, Thomas, Fabrizi, Michele, Huan, Xing, “CSR and Financial Services Misconduct Risk”, Operational Risk Consortium, July 2019.
-
Conlon, Thomas, “Mutual Fund Performance and Changes in Factor Exposures”, Financial Management Association Asia/Pacific Conference, Ho Chi Minh City, Vietnam, July 2019. Paper nominated for best conference paper award.
-
Conlon, Thomas, “Corporate Social Responsibility and Finance Services Misconduct Risk”, INFINITI Conference on International Finance, University of Glasgow, UK. June 2019.
-
Conlon, Thomas, “Fundamental Factor Models and Macroeconomic Risks – An Orthogonal Decomposition’, Financial Management Association Global Conference, Bogota, Columbia, May 2019.
-
Don Bredin, Valerio Poti and Marco Bianco, “Explosive Stock Prices and Predictability”, 2019 North American Meeting of the Econometric Society, June 27 - 30, 2019, University of Washington, Seattle, Washington.
-
Don Bredin, Valerio Poti and Marco Bianco, “Explosive Stock Prices and Predictability”, Asset Pricing Workshop 2019, Asset Prices, Finance and Macroeconomics, 17-18 June 2019, University of York.
-
Don Bredin and Stilianos Fountas, “Is British Output Growth Related to its Uncertainty?”, 10th Nordic Econometric Meeting, 23-26 May 2019, Stockholm, Sweden.
-
Julie Byrne, “Combining GARCH Forecasts for Volatility with Alternative Weighting Schemes in Electricity Markets”, Asian Meeting of the Econometric Society, 14-16 June 2019, Xiamen, China.
-
Julie Byrne, “Volatility modelling using GARCH for solar energy in the United States”, 7th International Symposium on Environment & Energy Finance Issues (ISEFI), 23-24 May 2019, Paris, France.
-
Paolo Guasoni, Stochastic Control in FinanceWorkshop National University of Singapore July 2019.
-
Paolo Guasoni, TianfuWorkshop on Financial Mathematics SWUFE July 2019.
-
Conlon, Thomas, presented at the Dublin Machine Learning Meet-up on the topic of “Interpretable Machine Learning and Financial Services”.
-
Paolo Guasoni, Stochastic Modeling in Finance and Insurance Banach Center, Poland February 2019.
-
Paolo Guasoni, 18th Winter School in Mathematical Finance Universiteit van Amsterdam, 5-hour minicourse, January 2019.
-
Cotter, John, Stuart Gabriel and Richard Roll (2019) “Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World”, 2019 American Finance Association Annual Conference, Atlanta, January.
-
Cotter, John, Stuart Gabriel and Richard Roll, (2019) “Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World”, Aarhus University, March.
-
Cotter, John, Stuart Gabriel and Richard Roll, (2019) “Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World”, Edinburgh University, March.
-
Cotter, John, Stuart Gabriel and Richard Roll, (2019) “Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World”, Groningen University, March.
2018
- Paolo Guasoni, ECOMFIN Seminar ESSEC Paris December 2018.
- Conlon, Thomas; Huan, Xing; Ongena, Steven “Basel II and bank operational losses”, Irish Academy of Finance, Ireland. December 2018.
- Conlon, Thomas; Bessler, Wolfgang; DeMingo Lopez, Diego “Mutual fund performance and changes in factor exposure”, Australasian Banking and Finance Conference, December 2018.
- Anand, Abhinav and John Cotter, “Integration Among US Banks”, Indian Institutes of Management, Indore (IIMI), December 2018.
- Botshekan, Mahmoud and John Cotter, “Decomposition of Equity Risk Premium: Ex Ante Approach”, The 5th FINACT-IRAN National Conference on Financial and Actuarial Mathematics, Tehran, Iran, December 2018.
- Anand, Abhinav and John Cotter, “Integration Among US Banks”, Indian Institutes of Management, Banagalore (IIMB), December 2018.
- Don Bredin and S. Fountas and C. Savva, “Is British Output Growth Related to its Uncertainty? Evidence using Eight Centuries”, Association of Southern European Economic Theorists Conference, University of Florence, 8-10 November 2018.
- Bessler, Wolfgang; Conlon, Thomas (2018) “Fundamental factor models and macroeconomic risks – An orthogonal decomposition”, Financial Management Association Annual Meeting, San Diego, California. Oct 2018.
- Julie Byrne, “Volatility modelling using GARCH for solar energy in the United States” presented at 2nd International Conference on Energy, Finance and the Macroeconomy (ICEFM) in Montpellier, France in October 2018
- Julie Byrne, “Combining GARCH forecasts with alternative weighting schemes in electricity markets.” presented at 2nd International Conference on Energy, Finance and the Macroeconomy (ICEFM) in Montpellier, France in October 2018
- Gregory Connor and Robert Korajczyk (2018) “Semi-strong Factors in Asset Returns” at the University of Cambridge Conference on Big Data in Finance.
- Gregory Connor and Robert Korajczyk (2018) “Semi-strong Factors in Asset Returns” at the University College Dublin weekly research seminar series.
- Cotter, John; Mark Hallam and Kamil Yilmaz, (2018), “Mixed-Frequency Macro-Financial Spillovers”, Irish Academy of Finance Annual Conference, 28 November 2018.
- Paolo Guasoni, Mathematical Finance Workshop University of Connecticut October 2018.
- Paolo Guasoni, UMI-PMT Meeting University of Wroclaw September 2018.
- Paolo Guasoni, IMS FIPS Meeting in Financial Mathematics King’s College London September 2018.
- Paolo Guasoni, Innovative Research in Mathematical Finance University of Marseilles September 2018.
- Cotter, John, Stuart Gabriel and Richard Roll, (2018) “Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World”, 9thTel Aviv Finance Conference 2018, Tel Aviv University, December 16th – 18th.
- Cotter, John, Stuart Gabriel and Richard Roll, (2018) “Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World”, Bank of Israel, December.
- Cotter, John; Mark Hallam and Kamil Yilmaz, (2018) “Mixed-Frequency Macro-Financial Spillovers”, Irish Academy of Finance Annual Conference, November 28.
- Cotter, John; Mark Hallam and Kamil Yilmaz, (2018) “Mixed-Frequency Macro-Financial Spillovers”, Central Bank of Ireland, November 8.
- Cotter, John; Mark Hallam and Kamil Yilmaz, (2018) “Mixed-Frequency Macro-Financial Spillovers”, University of Stirling, October 17.
- Conlon, Thomas; Huan, Xing; Ongena, Steven (2018) “Basel II and bank operational losses”, INFINITI Conference on International Finance, Poznan, Poland. 11-12 June 2018.
- Conlon, Thomas; Huan, Xing; Ongena, Steven (2018) “Basel II and bank operational losses”, European Accounting Association Annual Congress, Milan, Italy. 30 May – 1 June 2018.
- Conlon, Thomas; Huan, Xing; Ongena, Steven (2018) “Basel II and bank operational losses”, International Finance and Banking Society Annual Conference, Porto, Portugal. 30 June – 2 July 2018.
- Conlon, Thomas; Bessler, Wolfgang; deMingo-Lopez, Diego; Matallin-Saez,Juan (2018) “Mutual fund performance and changes in factor exposures”, INFINITI Conference on International Finance, Poznan, Poland. 11-12 June 2018.
- Conlon, Thomas; Bessler, Wolfgang; deMingo-Lopez, Diego; Matallin-Saez,Juan (2018) “Mutual fund performance and changes in factor exposures”, Finance Forum of Spain, Santander, Spain. 5-6 July 2018.
- Conlon, Thomas; Bessler, Wolfgang; Huan, Xing (2018) “Does Corporate Hedging Enhance Shareholder Value? A Meta-Analysis”, Symposium on Meta Analysis and Systematic Reviews in International Finance, Poznan, Poland. 9 June 2018.
- Conlon, Thomas; Bessler, Wolfgang (2018) “Fundamental factor models and macroeconomic risks – An orthogonal decomposition”, Mid-West Finance Association Annual Meeting, San Antonio Texas, USA. 1-3 March 2018.
- Conlon, Thomas; Bessler, Wolfgang (2018) “Fundamental factor models and macroeconomic risks – An orthogonal decomposition”, Financial Management Association European Meeting, Kristiansand, Norway. 13-15 June 2018.
- Conlon, Thomas; Bessler, Wolfgang (2018) “Fundamental factor models and macroeconomic risks – An orthogonal decomposition”, 4thApplied Financial Modelling Conference, Deakin Business School, Australia. 1-2 February 2018.
- Conlon, Thomas; Huan, Xing; Muckley, Cal (2018) “National Culture and Operational Risk Losses at Financial Institutions”, Financial Management Association European Meeting, Kristiansand, Norway. 13-15 June 2018.
- Conlon, Thomas; Bessler, Wolfgang; deMingo-Lopez, Diego; Matallin-Saez,Juan (2018) “Mutual fund performance and changes in factor exposures”, Portugese Finance Network Conference, Lisbon, Portugal. 2-4 July 2018.
- Conlon, Thomas; Huan, Xing; Muckley, Cal (2018) “National Culture and Operational Risk Losses at Financial Institutions”, Saïd Business School, University of Oxford, 8 May 2018.
- Conlon, Thomas; Huan, Xing; Muckley, Cal (2018) “National Culture and Operational Risk Losses at Financial Institutions”, Adam Smith School of Business, University of Glasgow, 18 May 2018.
- Conlon, Thomas; Avino, Davide; Cotter, John (2018) “Credit default swaps as indicators of bank financial distress”, University of Warwick Business School, 2 May 2018.
- Conlon, Thomas; Bessler, Wolfgang (2018) “Fundamental factor models and macroeconomic risks – An orthogonal decomposition”, University of Southampton Business School, United Kingdom. 7 March 2018.
- Conall O'Sullivan and Vassilios Papavassiliou “On the Term Structure of Liquidity in the European Sovereign Bond Market” The International Risk Management Society Conference, Paris, June 2018.
- Conall O'Sullivan and Vassilios Papavassiliou “On the Term Structure of Liquidity in the European Sovereign Bond Market” The International Finance and Banking Society Conference, Porto, July 2018.
- Conall O'Sullivan and Yan Wang “Option Implied Tail Risk and Expected Returns” The Bachelier World Congress, Dublin, July 2018.
- Conall O'Sullivan and Stephen O'Sullivan “Runge-Kutta-Gegenbauer relaxation for parallelised option pricing” The Bachelier World Congress, Dublin, July 2018.
- Cotter, John and Anita Suurlaht, 2018, Monetary policy spillovers to financial markets, 10th International Conference "Economic Challenges in Enlarged Europe", Tallinn, Estonia.
- Cotter, John; Emmanuel Eyiah-Donkor and Valerio Poti, 2018, Forecasting Commodity Futures Returns: Economic Value and Links to the Real Economy, Commodity and Energy Markets Annual Conference, Rome.
- Davide Avino, Thomas Conlon and John Cotter, (2018) “Credit Default Swaps as Indicators of Bank Failure”. Warwick Business School.
- Cotter, John, Stuart Gabriel and Richard Roll, (2018) “Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, 2018 ASSA/AREUEA Annual Conference, Philadelphia.
- Cotter, John, Stuart Gabriel and Richard Roll, (2018) “Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, University of Sussex.
- Cotter, John, Stuart Gabriel and Richard Roll, (2018) “Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, University of Manchester.
- Cotter, John, Stuart Gabriel and Richard Roll, (2018) “Nowhere to Run, Nowhere to Hide: Asset Diversificationin a Flat World, University of Bath.
- Marco Bianco “Inventory Investment, Financing Constraints, and Investment Inflexibility”, FMA Europe in Kristiansand.
- Marco Bianco “Inventory Investment, Financing Constraints, and Investment Inflexibility”, MFA in San Antonio.
- Cal B. Muckley, French Finance Association Annual Meeting, Paris.
- Cal B. Muckley, FMA International, Norway.
- Cal B. Muckley, Seminar at University of Edinburgh.
- Cal B. Muckley, British Accounting and Finance Association, London.
- Cal B. Muckley, Keynote speaker at the Chicago Mercantile Exchange Dublin conference.
- Paolo Guasoni, Innovative Research in Mathematical Finance, University of Marseilles, September.
- Paolo Guasoni, IMS FIPS Meeting in Financial Mathematics, London, September.
- Paolo Guasoni, Econometric Society, University of Cologne, August.
- Paolo Guasoni, A Workshop in honor of Maurizio Pratelli, University of Pisa, June.
- Paolo Guasoni, A Symposyum on Optimal Stopping, Rice University, June.
- Paolo Guasoni, 3rd Conference on Financial Mathematics, Bar-Ilan University, May.
- Cal Muckley, “Does national culture influence operational risks in financial institutions?” University of Edinburgh 30 January 2018.
- Don Bredin, Valerio Poti and Enrique Salvador, “Commodity Pricing: Evidence from Rational and Behavioral Models”, Irish Economics Association, 10-11 May 2018.
- Don Bredin, Valerio Poti and Enrique Salvador, “Commodity Pricing: Evidence from Rational and Behavioral Models”, XIX Conference on International Economics, held in Vila-real (Spain) during 28-29 June 2018
- Don Bredin, Valerio Poti and Marco Bianco “A Multi-Century Perspective on Returns Predictability and Price Bubbles”, Irish Economics Association, 10-11 May 2018.
- Julie Byrne “Volatility modelling using GARCH for solar energy in the United States”2nd International Conference in Energy Economics and Energy Policy (ICEEEP) in Barcelona in May 2018.
2017
- Conlon, Thomas, Muckley, Cal and Huan, Xing. “National Culture and Operational Risk Losses at Financial Institutions”, FINEST Conference, Bari, Italy. 27-28thSeptember 2017.
- Conlon, Thomas and Huan, Xing. “Basel II and Bank Operational Losses”, University of Padua, 19thDecember 2017.
- O'Sullivan, Conall, and Healy Brian."Are Cross-Sectional Differences in Abnormal Ex-Dividend Returns Priced by the Options Markets?" Multinational Finance Conference, Bucharest, June 2017.
- O'Sullivan, Conall, and Wang Yan. "Option Implied Tails: Known Unknowns." The Third Annual Volatility Institute Conference at NYU Shanghai - Derivatives and Volatility, Shanghai, November 2017.
- O'Sullivan, Conall, “Option Implied Tails: Known Unkowns”, in Paddy Power, Ireland, June 2017.
- Cal Muckley, “Does national culture influence operational risks in financial institutions?” FINEST 5thannual conference, Trani, Italy, 27-28 September 2017.
- Cal Muckley, “Can alert models protect the elderly clients of financial institutions?” Econometrics and Financial Data Science workshop, University of Reading, UK. 2ndNovember 2017.
- Don Bredin and Stilianos Fountas, “Is British Output Growth Related to its University?” Money, Macro and Finance Research Group, Annual Conference, 5-7 September 2017.
- Don Bredin, Ningyue Liu and Huijuan Cao, “The Investment Behavior of Qualified Foreign institutional Investors in China”, 30 Australasian Finance and Banking Conference, Sydney, December 2017.
- Don Bredin, Valerio Poti and Enrique Salvador, “Commodity Pricing: Evidence from Rational and Behavioral Models”, 15thInternational Association for Energy Economics, Vienna, 3-6 September 2017.
- Don Bredin and Valerio Poti, “A Multi-Century Perspective on Returns Predictability and Price Bubbles”, Bubbles in Macroeconomics: Recent Development, Centre De Recera En Economia International, Barcelona, 26-27 October 2017. Paolo Guasoni, Advances in Stoch. Analysis for Risk Modeling University of Marseilles, November 2017.
- Paolo Guasoni, Applied Math. Techniques for Energy Markets University of Leiden, September 2017.
- Paolo Guasoni, Seminar in Finance and insurance Mathematics ETH Zürich, May, 2017.
- Paolo Guasoni, Seminar in Stochastic Finance University of Warwick, May, 2017.
- Paolo Guasoni, Workshop on Stochastic Models and Control University of Trier, March, 2017.
- Paolo Guasoni, Seminar in Mathematical Finance Carnegie Mellon University, February, 2017.
- Cotter, John, Stuart Gabriel and Richard Roll, 2017, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, SFS Finance Cavalcade Asia-Pacific, Beijing, China, December 13-15, 2017.
- Cotter, John, Stuart Gabriel and Richard Roll, 2017, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, 2017 FMA Annual Meeting, Boston, USA. 11 - 14 October 2017.
- Cotter, John, Stuart Gabriel and Richard Roll, 2017, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, 2017 FMA European Conference, ISEG, Lisbon, Portugal, 22 & 23 June, 2017.
- Cotter, John, Stuart Gabriel and Richard Roll, 2017, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, Western Finance Association Annual Conference, Whistler, BC, Canada, June 25-28, 2017.
- Cotter, John, Stuart Gabriel and Richard Roll, 2017, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, European Securities and Markets Authority, Paris, June 8, 2017.
- Cotter, John, Stuart Gabriel and Richard Roll, 2017, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, Terry College of Business, University of Georgia, March 24, 2017.
- Cotter, John, Stuart Gabriel and Richard Roll, 2017, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, World Investment Forum 2017, June 7, 2017.
- Cotter, John, Stuart Gabriel and Richard Roll, 2017, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, Monash University, April 21, 2017.
- Cotter, John, Stuart Gabriel and Richard Roll, 2017, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, UCLA Anderson School, UCLA, May 12, 2017.
- Cotter, John, Stuart Gabriel and Richard Roll, 2017, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, Leibniz University Hannover, May 8, 2017.
- Cotter, John and Anita Suurlaht, 2016, Spillovers in Risk of Financial Institutions, Econometrics and Financial Data Science Workshop, ICMA Centre, University of Reading, November 2, 2017.
- Avino, Davide; Conlon, Tom and John Cotter, 2017, Credit Default Swaps as Indicators of Bank Financial Distress, University of Padova, July 2017.
- Cotter, John and Niall McGeever, 2017, Which stocks are integrated?, European Financial Management Association 2017 Annual Meetings, Athens, Greece, June 28- July 1, 2017
- Cotter, John and Niall McGeever, 2017, Which stocks are integrated?, Annual Irish Economic Association Conference, Dublin, May 4-5, 2017.
- Conlon, Thomas, John Cotter, and Philip Molyneux, 2017, Beyond Common Equity: The Influence of Secondary Capital on Bank Risk, 1st Marstrand Finance Conference, Sweden, June 17-19, 2017.
- Cotter, John, Stuart Gabriel and Richard Roll, 2017, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, ICMA Centre, University of Reading, February 1 2017.
- Anand, Abhinav and John Cotter, 2017, Integration Among US Banks, Indian Statistical Institute, Delhi (ISID), January 2017.
- Anand, Abhinav and John Cotter, 2017, Integration Among US Banks, Indian Institute of Technology, Kanpur (IITK), January 2017.
- Anand, Abhinav and John Cotter, 2017, Integration Among US Banks, Indian Institutes of Management, Ahmedabad (IIMA), January 2017.
- Anand, Abhinav and John Cotter, 2017, Integration Among US Banks, Indian Institutes of Management, Banagalore (IIMB), January 2017.
- Anand, Abhinav and John Cotter, 2017, Integration Among US Banks, Central Bank of Ireland, April 2017.
- Anand, Abhinav and John Cotter, 2017, Integration Among US Banks, 2017 FMA Annual Meeting, Boston, USA. 11 - 14 October 2017.
- Anand, Abhinav and John Cotter, 2017, Integration Among US Banks, India Finance Conference 2017, Bangalore, December 2017.
- Cotter, John; Emmanuel Eyiah-Donkor and Valerio Poti, 2017, The Economic Value of Commodities in Asset Allocation when Returns are Predictable, International Symposium on Forecasting, Cairns Australia, June 2017.
- Cotter, John; Emmanuel Eyiah-Donkor and Valerio Poti, 2017, The Economic Value of Commodities in Asset Allocation when Returns are Predictable, Commodity and Energy Markets Annual Conference, Oxford, UK, June 2017
- Conlon, Thomas, John Cotter and Ramazan Gencay, 2017, Long Run International Diversification, Midwest Annual Finance Conference, Chicago March 2017.
- Cotter, John; Mark Hallam and Kamil Yilmaz, Mixed-Frequency Macro-Financial Spillovers, University of Liverpool, March 2017.
- Cotter, John; Mark Hallam and Kamil Yilmaz, 2017, Mixed-Frequency Macro-Financial Spillovers11th International Conference on Computational and Financial Econometrics (CFE 2017), Senate House, University of London
Working Papers
- Carroll, P., Byrne, J. and Zhang, H. “Residential Electricity Peak Load Modelling of Irish Electricity Network.”
- Yue, X. and Byrne, J. “Identifying key determinants of air transport demand”
- Assereto, M., Zhang, H. and Byrne, J. “A Real Options Analysis of ESI Technologies”
- Paolo Guasoni and Gu Wang “Sharing Profits in the Sharing Economy”
- Paolo Guasoni, Antonella Tolomeo and Gu Wang “Should Commodity Investors Follow Commoditites”
- Gaurav Kumar, Cal B. Muckley, Linh Pham and Darragh Ryan. “Can alert models for fraud protect the elderly clients of a financial institution?”, revise-resubmit at the European Journal of Finance.
- Conlon, Tom; Cotter, John and Chenglu Jin, Co-skewness across Return Horizons.
- Conlon, Tom; Cotter, John and Enrique Salvador, Is Naïve Asset Allocation Always Preferable?
- Cotter, John, Stuart Gabriel and Richard Roll, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World.
- Cotter, John, Mark Hallam and Kamil Yilmaz), Macro-Financial Spillovers.
- Anand, Abhinav and John Cotter, Integration Among US Banks.
- Cotter, John, Emmanuel Eyiah-Donkor and Valerio Poti), Commodity Futures Return Predictability.
