Heat a large skillet to medium-high heat. Add the EVOO and butter to the pot and the onion as you slice it. When all the onion is in the pan, season with salt, pepper, thyme and bay leaf. Cook the onion for 15-18 minutes, stirring frequently, until tender, sweet and caramel-colored. Remove the bay leaf and deglaze the pan with the sherry. Allow to cook out for 2-3 minutes.
Gently fold the caramelized onions and cheese into the hot mashed potatoes and parsnips. Season with salt and pepper, to taste.