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Shuping Shi

Personal Details

First Name:Shuping
Middle Name:
Last Name:Shi
Suffix:
RePEc Short-ID:psh404
[This author has chosen not to make the email address public]
http://sites.google.com/site/shupingshi/home/

Affiliation

Department of Economics
Business School
Macquarie University

Sydney, Australia
https://www.mq.edu.au/macquarie-business-school/our-departments/department-of-economics
RePEc:edi:edmqqau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Shuping Shi & Peter C. B. Phillips, 2023. "Housing Fever in Australia 2020-2023: Insights from an Econometric Thermometer," Cowles Foundation Discussion Papers 2381, Cowles Foundation for Research in Economics, Yale University.
  2. Nabil Bouamara & S'ebastien Laurent & Shuping Shi, 2023. "Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications," Papers 2303.13406, arXiv.org, revised Jun 2023.
  3. Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu, 2022. "Weak Identification of Long Memory with Implications for Inference," Cowles Foundation Discussion Papers 2334, Cowles Foundation for Research in Economics, Yale University.
  4. Shi, Shuping & Yu, Jun & Zhang, Chen, 2022. "Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise," Economics and Statistics Working Papers 13-2022, Singapore Management University, School of Economics.
  5. Shuping Shi & Peter C. B. Phillips, 2022. "Econometric Analysis of Asset Price Bubbles," Cowles Foundation Discussion Papers 2331, Cowles Foundation for Research in Economics, Yale University.
  6. Sébastien Laurent & Shuping Shi, 2022. "Unit Root Test with High-Frequency Data," Post-Print hal-03543167, HAL.
  7. Shi, Shuping & Yu, Jun, 2021. "Different Strokes for Different Folks: Long Memory and Roughness," Economics and Statistics Working Papers 7-2021, Singapore Management University, School of Economics.
  8. Liu, Xiaobin & Shi, Shuping & Yu, Jun, 2020. "Persistent and Rough Volatility," Economics and Statistics Working Papers 23-2020, Singapore Management University, School of Economics.
  9. Shuping Shi & Peter C.B. Phillips, 2020. "Diagnosing Housing Fever with an Econometric Thermometer," Cowles Foundation Discussion Papers 2248, Cowles Foundation for Research in Economics, Yale University.
  10. Ye Chen & Peter C.B. Phillips & Shuping Shi, 2020. "Common Bubble Detection in Large Dimensional Financial Systems," Cowles Foundation Discussion Papers 2251, Cowles Foundation for Research in Economics, Yale University.
  11. Gomis-Porqueras, Pedro & Shi, Shuping & Tan, David, 2020. "Gold as a Financial Instrument," MPRA Paper 102782, University Library of Munich, Germany.
  12. Sébastien Laurent & Shuping Shi, 2018. "Volatility Estimation and Jump Detection for drift-diffusion Processes," AMSE Working Papers 1843, Aix-Marseille School of Economics, France.
  13. Eric Girardin & Roselyne Joyeux & Shuping Shi, 2018. "Stock Market Bubble Migration: From Shanghai to Hong Kong," Post-Print hal-01985939, HAL.
  14. Peter C.B. Phillips & Shuping Shi, 2018. "Real Time Monitoring of Asset Markets: Bubbles and Crises," Cowles Foundation Discussion Papers 2152, Cowles Foundation for Research in Economics, Yale University.
  15. Yongheng Deng & Eric Girardin & Roselyne Joyeux & Shuping Shi, 2017. "Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?," Post-Print hal-01682809, HAL.
  16. Shu-Ping Shi & Stan Hurn & Peter C. B. Phillips, 2016. "Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship," Cowles Foundation Discussion Papers 2059, Cowles Foundation for Research in Economics, Yale University.
  17. Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi, 2016. ""Change Detection and the Causal Impact of the Yield Curve," Cowles Foundation Discussion Papers 2058, Cowles Foundation for Research in Economics, Yale University.
  18. Shuping Shi, 2016. "Speculative bubbles or market fundamentals? An investigation of US regional housing markets," CAMA Working Papers 2016-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  19. Peter C.B. Phillips & Shu-Ping Shi, 2014. "Financial Bubble Implosion," Cowles Foundation Discussion Papers 1967, Cowles Foundation for Research in Economics, Yale University.
  20. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500," Cowles Foundation Discussion Papers 1914, Cowles Foundation for Research in Economics, Yale University.
  21. Vipin Arora & Shuping Shi, 2013. "A Heterogenous Agent Foundation for Tests of Asset Price Bubbles," CAMA Working Papers 2013-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  22. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles: Limit Theory of Real Time Detectors," Cowles Foundation Discussion Papers 1915, Cowles Foundation for Research in Economics, Yale University.
  23. Song, Yong & Shi, Shuping, 2012. "Identifying speculative bubbles with an in finite hidden Markov model," MPRA Paper 36455, University Library of Munich, Germany.
  24. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2012. "Testing for Multiple Bubbles," Cowles Foundation Discussion Papers 1843, Cowles Foundation for Research in Economics, Yale University.
  25. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2012. "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior," Cowles Foundation Discussion Papers 1842, Cowles Foundation for Research in Economics, Yale University.
  26. Vipin Arora & Pedro Gomis-Porqueras & Shuping Shi, 2011. "Testing for Explosive Behaviour in Relative Inflation Measures: Implications for Monetary Policy," Monash Economics Working Papers 37-11, Monash University, Department of Economics.
  27. Shuping Shi & Vipin Arora, 2011. "An Application Of Models Of Speculative Behaviour To Oil Prices," CAMA Working Papers 2011-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  28. Shu-Ping Shi & Peter C. B. Phillips & Jun Yu, 2011. "Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles," Working Papers 172011, Hong Kong Institute for Monetary Research.
  29. Shu-Ping Shi, 2010. "Bubbles or Volatility: A Markov-Switching Unit Root Test with Regime-Varying Error Variance," ANU Working Papers in Economics and Econometrics 2010-524, Australian National University, College of Business and Economics, School of Economics.

Articles

  1. Shuping Shi & Peter C. B. Phillips, 2023. "Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 56(3), pages 357-362, September.
  2. Ye ChenCapital & Peter C B Phillips & Shuping Shi, 2023. "Common Bubble Detection in Large Dimensional Financial Systems," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 989-1063.
  3. Shuping Shi & Peter C.B. Phillips, 2023. "Diagnosing housing fever with an econometric thermometer," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 159-186, February.
  4. Shuping Shi & Jun Yu, 2023. "Volatility Puzzle: Long Memory or Antipersistency," Management Science, INFORMS, vol. 69(7), pages 3861-3883, July.
  5. Hurn, Stan & Shi, Shuping & Wang, Ben, 2022. "Housing networks and driving forces," Journal of Banking & Finance, Elsevier, vol. 134(C).
  6. Gomis-Porqueras, Pedro & Shi, Shuping & Tan, David, 2022. "Gold as a financial instrument," Journal of Commodity Markets, Elsevier, vol. 27(C).
  7. Laurent, Sébastien & Shi, Shuping, 2022. "Unit Root Test With High-Frequency Data," Econometric Theory, Cambridge University Press, vol. 38(1), pages 113-171, February.
  8. Laurent, Sébastien & Shi, Shuping, 2020. "Volatility estimation and jump detection for drift–diffusion processes," Journal of Econometrics, Elsevier, vol. 217(2), pages 259-290.
  9. Shuping Shi & Arafat Rahman & Ben Zhe Wang, 2020. "Australian Housing Market Booms: Fundamentals or Speculation?☆," The Economic Record, The Economic Society of Australia, vol. 96(315), pages 381-401, December.
  10. Peter C. B. Phillips & Shuping Shi, 2019. "Detecting Financial Collapse and Ballooning Sovereign Risk," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(6), pages 1336-1361, December.
  11. Mardi Dungey & Stan Hurn & Shuping Shi & Vladimir Volkov, 2019. "Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors," Econometrics, MDPI, vol. 7(1), pages 1-20, January.
  12. George Milunovich & Shuping Shi & David Tan, 2019. "Bubble detection and sector trading in real time," Quantitative Finance, Taylor & Francis Journals, vol. 19(2), pages 247-263, February.
  13. Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
  14. Phillips, Peter C.B. & Shi, Shu-Ping, 2018. "Financial Bubble Implosion And Reverse Regression," Econometric Theory, Cambridge University Press, vol. 34(4), pages 705-753, August.
  15. Clements, Adam & Hurn, Stan & Shi, Shuping, 2017. "An empirical investigation of herding in the U.S. stock market," Economic Modelling, Elsevier, vol. 67(C), pages 184-192.
  16. Yongheng Deng & Eric Girardin & Roselyne Joyeux & Shuping Shi, 2017. "Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?," Pacific Economic Review, Wiley Blackwell, vol. 22(3), pages 276-292, August.
  17. Shi, Shuping, 2017. "Speculative bubbles or market fundamentals? An investigation of US regional housing markets," Economic Modelling, Elsevier, vol. 66(C), pages 101-111.
  18. Vipin Arora & Shuping Shi, 2016. "Energy consumption and economic growth in the United States," Applied Economics, Taylor & Francis Journals, vol. 48(39), pages 3763-3773, August.
  19. Shuping Shi & Abbas Valadkhani & Russell Smyth & Farshid Vahid, 2016. "Dating the Timeline of House Price Bubbles in Australian Capital Cities," The Economic Record, The Economic Society of Australia, vol. 92(299), pages 590-605, December.
  20. Shuping Shi & Yong Song, 2016. "Identifying Speculative Bubbles Using an Infinite Hidden Markov Model," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 159-184.
  21. Vipin Arora & Shuping Shi, 2016. "Nonlinearities and tests of asset price bubbles," Empirical Economics, Springer, vol. 50(4), pages 1421-1433, June.
  22. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015. "Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(4), pages 1043-1078, November.
  23. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015. "Testing For Multiple Bubbles: Limit Theory Of Real‐Time Detectors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(4), pages 1079-1134, November.
  24. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2014. "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(3), pages 315-333, June.
  25. Shu-Ping Shi, 2013. "Specification sensitivities in the Markov-switching unit root test for bubbles," Empirical Economics, Springer, vol. 45(2), pages 697-713, October.
  26. Arora, Vipin & Gomis-Porqueras, Pedro & Shi, Shuping, 2013. "The divergence between core and headline inflation: Implications for consumers’ inflation expectations," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 497-504.
  27. Shi, Shuping & Arora, Vipin, 2012. "An application of models of speculative behaviour to oil prices," Economics Letters, Elsevier, vol. 115(3), pages 469-472.

Chapters

  1. Eric Girardin & Roselyne Joyeux & Shuping Shi, 2018. "Stock Market Bubble Migration: From Shanghai to Hong Kong," Dynamic Modeling and Econometrics in Economics and Finance, in: Fredj Jawadi (ed.), Uncertainty, Expectations and Asset Price Dynamics, pages 173-192, Springer.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Citations, Discounted by Citation Age
  2. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 35 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (20) 2010-07-10 2011-07-21 2011-09-05 2011-09-05 2012-01-18 2012-01-18 2012-02-20 2012-04-17 2012-04-17 2012-06-25 2013-09-06 2013-09-06 2013-09-26 2013-09-28 2019-01-07 2020-08-31 2020-12-07 2021-09-13 2022-08-22 2022-08-29. Author is listed
  2. NEP-ECM: Econometrics (19) 2010-07-10 2011-07-21 2011-09-05 2011-09-05 2012-01-18 2012-02-20 2013-09-06 2013-09-06 2013-09-26 2016-06-09 2016-12-18 2019-01-07 2020-08-31 2020-08-31 2020-12-07 2022-08-22 2022-08-29 2023-01-09 2023-04-24. Author is listed
  3. NEP-SEA: South East Asia (19) 2011-07-21 2011-09-05 2011-09-05 2012-01-18 2012-01-18 2012-04-17 2012-04-17 2013-09-06 2013-09-06 2013-09-26 2013-09-28 2013-10-05 2020-08-31 2020-12-07 2021-09-13 2022-08-22 2022-08-29 2022-12-12 2023-01-09. Author is listed
  4. NEP-RMG: Risk Management (6) 2013-09-06 2013-09-26 2018-12-24 2019-01-07 2019-01-07 2020-10-05. Author is listed
  5. NEP-MAC: Macroeconomics (5) 2012-01-10 2016-08-07 2016-09-04 2016-12-18 2020-10-05. Author is listed
  6. NEP-ORE: Operations Research (5) 2010-07-10 2013-10-05 2019-01-07 2020-08-31 2020-12-07. Author is listed
  7. NEP-FMK: Financial Markets (4) 2013-09-06 2013-09-26 2016-12-18 2020-10-05
  8. NEP-HIS: Business, Economic and Financial History (4) 2013-09-06 2013-09-26 2016-09-04 2016-12-18
  9. NEP-CMP: Computational Economics (3) 2013-09-06 2013-09-28 2013-10-05
  10. NEP-MON: Monetary Economics (3) 2012-01-10 2016-09-04 2016-12-18
  11. NEP-URE: Urban and Real Estate Economics (3) 2016-08-07 2020-08-31 2024-03-18
  12. NEP-CBA: Central Banking (2) 2012-01-10 2012-04-17
  13. NEP-FOR: Forecasting (2) 2012-02-20 2012-06-25
  14. NEP-AGR: Agricultural Economics (1) 2012-01-10
  15. NEP-CNA: China (1) 2020-08-31
  16. NEP-CSE: Economics of Strategic Management (1) 2016-08-07
  17. NEP-ISF: Islamic Finance (1) 2021-09-13

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