Bonsoo Koo
Building 11, E758, Department of Econometrics and Business Statistics
Faculty of Business and Economics, Monash University
Wellington Road, Clayton Campus
Victoria 3800, Australia
Tel : +61(0)402597274 (Mobile) /+61(0)399050547 (Office)
E-Mail : bonsoo.koo at monash dot edu
http://sites.google.com/site/bonsookoo
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Current Position held
Professor
Department of Econometrics and Business Statistics, Faculty of Business and Economics, Monash Uni.
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Editorial Service
Associate Editor (Economic Modelling) Dec. 2020 ~
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Education
Ph. D. in Economics, London School of Economics (LSE) Sep. 2008 ~ May 2011
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Teaching and Research Interests
Teaching: Econometrics, Finance, Statistics
Research Interests: Financial Econometrics, Econometric Theory, Finance, Macroeconometrics
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Publications
Econometrics and Statistics
[1] Frazier, DT, Loaiza-Maya, R., Martin, GM & Koo, B 2024, 'Loss-Based Variational Bayes Prediction', Journal of Computational and Graphical Statistics. https://doi.org/10.1080/10618600.2024.2341899
[2] Frazier, DT & Koo, B 2021, 'Indirect inference for locally stationary models', Journal of Econometrics, vol. 223, no. 1, pp. 1-27. https://doi.org/10.1016/j.jeconom.2020.08.004
[3] Koo, B, La Vecchia, D & Linton, OB 2021, 'Estimation of a nonparametric model for bond prices from cross-section and time series information', Journal of Econometrics, vol. 220, no. 2, pp. 562-588. https://doi.org/10.1016/j.jeconom.2020.04.014
[4] Koo, B, Anderson, HM, Seo, MH & Yao, W 2020, 'High-dimensional predictive regression in the presence of cointegration', Journal of Econometrics, vol. 219, no. 2, pp. 456-477. https://doi.org/10.1016/j.jeconom.2020.03.011
[5] Ben Taieb, S., and Koo, B. (2019) Regularized regression for hierarchical forecasting without unbiasedness conditions. Proceedings of the ACM SIGKDD Conference on Knowledge Discovery and Data Mining (KDD ’19), 1337-1347
[6] Bergmeir, C., Hyndman, R. J. and Koo, B. (2018) A note on the validity of cross-validation for evaluating time series prediction. Computational Statistics and Data Analysis 120, 70-83
[7] Koo, B. and Seo, M.H. (2015) Structural-break models under mis-specification: Implications for forecasting. Journal of Econometrics 188, 166-181.
[8] Koo, B. and Linton, O. (2015) Let’s get LADE: Robust estimation of multiplicative volatility models. Econometric Theory 31, 671-702.
[9] Koo, B. and Linton, O. (2012) Estimation of Semiparametric Locally Stationary Diffusion Models. Journal of Econometrics 170, 210-233.
Operational Research/Economics/Applied Finance
[1] F, Boonen, TJ, Koo, B, Mourdoukoutas, F & Pantelous, AA 2025, 'Competitive insurance pricing in a duopoly', European Journal of Operational Research (forthcoming)
[2] Mourdoukoutas, F, Boonen, TJ, Koo, B & Pantelous, AA 2024, 'Optimal premium pricing in a competitive stochastic insurance market with incomplete information: a Bayesian game-theoretic approach', Insurance: Mathematics and Economics, vol. 119, pp. 32-47. https://doi.org/10.1016/j.insmatheco.2024.07.006
[3] Mourdoukoutas, F, Boonen, TJ, Koo, B & Pantelous, AA 2021, 'Pricing in a competitive stochastic insurance market', Insurance: Mathematics and Economics, vol. 97, pp. 44-56. https://doi.org/10.1016/j.insmatheco.2021.01.003
[4] Seo, MH, Koo, B & Yang, YF 2024, 'Nonlinear dynamics of Kimchi premium', Economic Modelling, vol. 135, 106726. https://doi.org/10.1016/j.econmod.2024.106726
[5] Koo, B, Pantelous, AA & Wang, Y 2022, 'Novel utility-based life cycle models to optimise income in retirement', European Journal of Operational Research, vol. 299, no. 1, pp. 346-361. https://doi.org/10.1016/j.ejor.2021.08.048
[6] Minney, A, Zhu, Z, Guo, Y, Li, J, Toscas, P, Koo, B & Pantelous, AA 2022, 'Using the pension multiple to measure retirement outcomes', Finance Research Letters, vol. 49, 103149. https://doi.org/10.1016/j.frl.2022.103149
[7] Chen, W, Koo, B, Wang, Y, O'Hare, C, Langrené, N, Toscas, P & Zhu, Z 2021, 'Using a stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes', Annals of Actuarial Science, vol. 15, no. 3, pp. 549-566. https://doi.org/10.1017/S1748499520000305
[8] Chen, W, Minney, A, Toscas, P, Koo, B, Zhu, Z & Pantelous, AA 2021, 'Personalised drawdown strategies and partial annuitisation to mitigate longevity risk', Finance Research Letters, vol. 39, 101644. https://doi.org/10.1016/j.frl.2020.101644
[9] Ferrara, G, Kim, JS, Koo, B & Liu, Z 2021, 'Counterparty choice in the UK credit default swap market: an empirical matching approach', Economic Modelling, vol. 94, pp. 58-74. https://doi.org/10.1016/j.econmod.2020.08.020
[10] Wang, H., Koo, B., and O’Hare, C. (2016) Retirement planning in the light of changing demographics. Economic Modelling 52, 749-763
[11] Deb, P., Koo, B. and Liu, Z. (2014) Competition, premature trading and excess volatility. Journal of Banking & Finance 41, 178-193.
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Projects
“High frequency Estimation of Term Structure Models at the Zero Lower Bound” with Yao, W., Winkelmann, L.
Discovery Project (No. DP220100321)
"Statistical Analysis of State-Dependent Government Spending Multipliers" with S. Lee and M. Seo
Discovery Project (No. DP210101440)
“Nonparametric estimation and forecasting of yield curve dynamics”
Discovery Early Career Researcher Award (DECRA, No. DE170100713), ARC (1/01/17 – 31/12/19)
“Towards a superannuation system fit for the future” with C. O’Hare, Z. Zhu, D. Cox, and D. McBirnie
Linkage (No. LP160101038), ARC (1/07/17 – 30/06/2019)
“RiskLab Research – Actuarial Sciences” with A. Pantelous, C. O’Hare, and K. Knight
(Jan 2017 – Dec 2019)
“Forecasting when model stability is uncertain” with H. Anderson and M. Seo
Discovery Project (No. DP150104292), ARC (1/01/15 – 31/12/17)
“Research on the effectiveness of superannuation tax concessions in encouraging additional savings ”
with U. Ruthbah, N. Pham, and D. Kapur. Commonwealth Treasury (6/12/19 – 30/04/2020)
“Research on the relationship between voluntary savings and changes to the Superannuation Guarantee (SG)
with U. Ruthbah, N. Pham, and D. Kapur. Commonwealth Treasury (6/12/19 – 30/04/2020)
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Referreeing
Annals of Statistics, Econometric Theory, Journal of Econometrics, Journal of Business and Economic Statistics,
Journal of American Statistical Association Journal of Financial Econometrics, Econometrics Journal, Econometric Reviews,
Journal of Time Series Econometrics, Journal of Statistical Planning and Inference, International Journal of Forecasting
Macroeconomic Dynamics, Journal of Mathematical Analysis and Application, Econometrics and Statistics, Economic Modelling,
Computational Statistics
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PDF version of my CV is available upon request.