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

Associate 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

[1] Bonsoo Koo, Oliver Linton (2012) Estimation of semiparametric locally stationary diffusion models

Journal of Econometrics 170, 210-233.

[2] Pragyan Deb, Bonsoo Koo, Zijun Liu (2014) Competition, Premature Trading and Excess Volatility

Journal of Banking & Finance 41, 178-193.

[3] Bonsoo Koo, Oliver Linton (2015) Let’s Get LADE: Robust Estimation of Semiparametric Multiplicative

Volatility Models, Econometric Theory 31, 671-702.

[4] Bonsoo Koo, Myung Hwan Seo (2015) Structural-Break Models under Mis-specification: Implications for Forecasting

Journal of Econometrics 188, 166-181.

[5] Hong Wang, Bonsoo Koo, Colin O'Hare (2016) Retirement planning in the light of changing demographics

Economic Modelling 52, 749-763

[6] Christoph Bergmeir, Rob Hyndman, Bonsoo Koo (2018) A Note on the Validity of Cross-Validation for

Evaluating Time Series Prediction, Computational Statistics and Data Analysis 188, 166-181

[7] Souhaib Ben Taieb, Bonsoo Koo (2019) Regularized regression for hierarchical forecasting without

unbiasdness conditions Proceedings in Knowledge Discovery and Data MIning, 2019

[8] Bonsoo Koo, Heather Anderson, Myung Hwan Seo, Wenying Yao (2020) High-dimensional predictive regression

in the presence of cointegration Journal of Econometrics 219, 2, p. 456-477.

[9] Bonsoo Koo, Davide La Vecchia, Oliver Linton (2020) Estimation of a nonparametric model for bond prices

from cross-section and time series information Journal of Econometrics 220, 2, p. 562-588

[10] David Frazier, Bonsoo Koo (2020) Indirect inference for locally stationary models

Journal of Econometrics 223, 1, p. 1-27

[11] Gerrado, F., Kim, J., Koo, B., Z. Liu (2020) Counterparty choice in the UK credit default swap market:

An empirical matching approach Economic Modelling 94 p. 58-74

[12] Chen, W., Minney, A., Toscas, P., Koo, B., Zhu, Z., Pantelous, A. (2020) Personalised drawdown strategies

and partial annuitisation to mitigate longevity risk Finance Research letters 39, 10 p., 101644

[13] Chen, M., Koo, B., Y. Wang, Toscas, P. Zhu, Z. (2020) Using stochastic economic scenario generator to

analyse uncertain superannuation and retirement outcomes Annals of Actuarial Science Forthcoming

[14] Mourdoukoutas, F., Boonen, T., Koo, B., Pantelous, A. (2021) Pricing in a Competitive Stochastic Insurance Market

Insurance: Mathematics and Economics 97, p. 44-56 13 p.

[15] Koo, B., Pantelous, A. Wang Y. (2021) Novel utility-based life cycle models to optimise income in retirement

European Journal of Operational Research (forthcoming)

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Projects

"Statistical Analysis of State-Dependent Government Spending Multipliers" with S. Lee and M. Seo

Discovery Project (No. DP210101440), ARC (1/01/2021 – 31/12/2023)

“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 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.