Bonsoo Koo

Monash Business School

Wellington Road

Clayton, Victoria 3168

Australia

SCHOLARLY PAPERS

14

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SSRN CITATIONS
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6

CROSSREF CITATIONS

14

Scholarly Papers (14)

1.

High-Dimensional Predictive Regression in the Presence of Cointegration

Number of pages: 46 Posted: 15 Oct 2016 Last Revised: 01 Mar 2019
Monash Business School, Monash University - Department of Econometrics and Business Statistics, Seoul National University - School of Economics and University of Melbourne - Melbourne Business School
Downloads 377 (113,098)
Citation 3

Abstract:

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return predictability, predictive regression, cointegration, LASSO

2.

Structural-Break Models under Mis-specification: Implications for Forecasting

Number of pages: 47 Posted: 23 Apr 2013 Last Revised: 20 Jun 2015
Bonsoo Koo and Myung Hwan Seo
Monash Business School and Seoul National University - School of Economics
Downloads 168 (249,554)
Citation 1

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structural break, forecasting, mis-specification, cube-root asymptotics, bagging

3.

Using a stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes

Number of pages: 40 Posted: 22 May 2019 Last Revised: 04 Aug 2020
CSIRO Data61, Monash Business School, Monash University - Department of Econometrics and Business Statistics, Monash University - Department of Econometrics & Business Statistics, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 155 (266,772)

Abstract:

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superannuation, Economic Scenarios Generator, SUPA model, Monte Carlo simulation, accumulation, decumulation, Age Pension, retirement income

4.

How Trade Matching Forms in the Credit Default Swap Market

Number of pages: 43 Posted: 25 Sep 2015 Last Revised: 09 Feb 2019
Monash University - Department of Econometrics & Business Statistics, Bank of England, Monash Business School and Bank of England
Downloads 143 (284,562)

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Credit default swap; Matching; Network formation; Financial network

Semiparametric Estimation of Locally Stationary Diffusion Models

LSE STICERD Research Paper No. EM551
Number of pages: 57 Posted: 30 Nov 2010
Bonsoo Koo and Oliver B. Linton
Monash Business School and University of Cambridge
Downloads 81 (422,938)
Citation 2

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Semiparametric Estimation of Locally Stationary Diffusion Models

Number of pages: 52 Posted: 09 Sep 2010 Last Revised: 09 May 2013
Bonsoo Koo and Oliver B. Linton
Monash Business School and University of Cambridge
Downloads 62 (489,737)

Abstract:

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diffusion processes, local stationarity, term structure dynamics, density matching, option pricing

6.

Let's Get LADE: Robust Estimation of Semiparametric Multiplicative Volatility Models

Number of pages: 41 Posted: 21 Aug 2012 Last Revised: 26 Apr 2013
Bonsoo Koo and Oliver B. Linton
Monash Business School and University of Cambridge
Downloads 88 (398,487)

Abstract:

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semiparametric, heavy-tailed errors, time varying, nonstationary multiplicative GARCH

7.

Estimation of a Nonparametric model for Bond Prices from Cross-section and Time series Information

Number of pages: 44 Posted: 01 Mar 2019
Monash Business School, University of Geneva - Geneva School of Economics and Management - Research Center for Statistics and University of Cambridge
Downloads 72 (446,988)

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nonparametric inference, panel data, time varying, yield curve dynamics

8.

Competition, Premature Trading and Excess Volatility

Number of pages: 51 Posted: 15 Mar 2012 Last Revised: 26 Dec 2013
Pragyan Deb, Bonsoo Koo and Zijun Liu
International Monetary Fund (IMF), Monash Business School and Bank of England
Downloads 69 (457,280)

Abstract:

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Premature trading, Competition, Unverified Information, Excess Volatility

9.

Retirement Planning in the Light of Changing Demographics

Number of pages: 34 Posted: 23 Jan 2016
Hong Wang, Bonsoo Koo and Colin O'Hare
Monash University - Department of Econometrics & Business Statistics, Monash Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 55 (510,682)
Citation 1

Abstract:

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Superannuation; Stochastic simulation; Contribution

10.

Pricing in a Competitive Stochastic Insurance Market

Insurance: Mathematics and Economics, Vol. 97, pp. 44-56, March 2021 DOI: 10.1016/j.insmatheco.2021.01.003
Number of pages: 41 Posted: 20 Oct 2020 Last Revised: 28 Jan 2021
Monash University - Department of Econometrics and Business Statistics, University of Amsterdam, Monash Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 47 (546,331)

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Competitive markets, non-cooperative game theory, convex and concave demand functions, stochastic claims

11.

Novel Utility-Based Life Cycle Models to Optimise Income in Retirement

European Journal of Operational Research, Volume 299, Issue 1, pp. 346-361, 16 May 2022, DOI 10.1016/j.ejor.2021.08.048
Number of pages: 77 Posted: 19 Jun 2020 Last Revised: 18 Jan 2022
Monash Business School, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 41 (576,295)

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Utility theory; Decisions analysis; Life cycle models; Retirement income; Reverse mortgage

12.

Let's Get Lade: Robust Estimation of Semiparametric Multiplicative Volatility Models

Number of pages: 41 Posted: 22 Mar 2013
Oliver B. Linton and Bonsoo Koo
University of Cambridge and Monash Business School
Downloads 39 (586,747)

Abstract:

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semiparametric, heavy-tailed errors, time varying, nonstationary multiplicative GARCH

13.

Indirect Inference for Locally Stationary Models

Number of pages: 55 Posted: 23 Jun 2018 Last Revised: 11 May 2020
David Frazier and Bonsoo Koo
Monash Business School and Monash Business School
Downloads 14 (765,939)

Abstract:

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semiparametric, locally stationary, indirect inference, state-space models

14.

What Impulse Response Do Instrumental Variables Identify?

Number of pages: 36 Posted: 09 Sep 2022
Bonsoo Koo, Seojeong Lee and Myung Hwan Seo
Monash Business School, Seoul National University and Seoul National University - School of Economics
Downloads 1 (911,097)

Abstract:

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local projection, local average treatment effect, structural vector moving average, instrumental variables, sectoral heterogeneity, impulse response, government spending multiplier