Shuping Shi

Department of Economics, Macquarie University

Associate Professor

New South Wales 2109

Australia

Macquarie University

Associate Professor

Department of Economics,

Macquarie University

Sydney, NSW 2109

Australia

http://https://sites.google.com/site/shupingshi/home/

SCHOLARLY PAPERS

24

DOWNLOADS
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4,310

SSRN CITATIONS
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SSRN RANKINGS

Top 5,527

in Total Papers Citations

150

CROSSREF CITATIONS

94

Scholarly Papers (24)

1.
Downloads 1,037 ( 27,393)
Citation 16

Testing for Multiple Bubbles

Cowles Foundation Discussion Paper No. 1843
Number of pages: 67 Posted: 09 Jan 2012
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University
Downloads 922 (31,935)
Citation 24

Abstract:

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Date-stamping strategy, Generalized sup ADF test, Multiple bubbles, Rational bubble, Periodically collapsing bubbles, Sup ADF test

Testing for Multiple Bubbles

CAFE Research Paper No. 13.18
Number of pages: 67 Posted: 27 Aug 2013
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University
Downloads 115 (304,424)
Citation 18

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Date-stamping strategy, Generalized sup ADF test, Multiple bubbles, Rational bubble, Periodically collapsing bubbles, Sup ADF test

Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500

Cowles Foundation Discussion Paper No. 1914, FIRN Research Paper
Number of pages: 46 Posted: 18 Sep 2013
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University
Downloads 656 (50,766)
Citation 109

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Date-stamping strategy, Flexible window, Generalized sup ADF test, Multiple bubbles, Rational bubble, Periodically collapsing bubbles, Sup ADF test 

3.

Bubble Detection and Sector Trading in Real Time

Number of pages: 38 Posted: 23 Aug 2016 Last Revised: 27 Nov 2017
George Milunovich, Shuping Shi, Shuping Shi and David Tan
Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie UniversityDepartment of Economics, Macquarie University and University of New South Wales (UNSW)
Downloads 495 (73,334)
Citation 8

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Speculative bubbles, price-earnings ratio, explosive dynamics, real-time trading, stochastic dominance

4.
Downloads 353 (108,738)
Citation 4

Financial Bubble Implosion

Number of pages: 46 Posted: 28 Aug 2014
Peter C. B. Phillips, Shuping Shi and Shuping Shi
Yale University - Cowles Foundation and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 194 (198,584)

Abstract:

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Bubble implosion, Dating algorithm, Limit theory, Market recovery, NASDAQ

Financial Bubble Implosion

Cowles Foundation Discussion Paper No. 1967
Number of pages: 47 Posted: 03 Dec 2014
Peter C. B. Phillips, Shuping Shi and Shuping Shi
Yale University - Cowles Foundation and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 159 (236,402)
Citation 5

Abstract:

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Bubble implosion, Dating algorithm, Limit theory, Market recovery, Nasdaq

Testing for Multiple Bubbles: Limit Theory of Real Time Detectors

Cowles Foundation Discussion Paper No. 1915
Number of pages: 76 Posted: 18 Sep 2013
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University
Downloads 212 (182,913)
Citation 21

Abstract:

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Bubble duration, Consistency, Dating algorithm, Limit theory, Multiple bubbles, Real time detector

6.

Gold as a Financial Instrument

Macquarie Business School Research Paper
Number of pages: 24 Posted: 21 Sep 2020
Pedro Gomis‐Porqueras, Shuping Shi, Shuping Shi and David Tan
Deakin University, Macquarie UniversityDepartment of Economics, Macquarie University and University of Wollongong
Downloads 173 (219,685)

Abstract:

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Gold, Hedge, Safe Haven, Sovereign Debt, Equity Markets

7.

Bubbles or Volatility: A Markov-Switching Unit Root Test with Regime-Varying Error Variance

Australian National University School of Economics & Econometrics Working Paper No. 524
Number of pages: 14 Posted: 16 Sep 2011
Shuping Shi and Shuping Shi
Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 141 (260,166)
Citation 7

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Rational Bubble, Markov-Switching Unit Root Test, Regime-Varying

Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship

Cowles Foundation Discussion Paper No. 2059
Number of pages: 59 Posted: 08 Dec 2016
Shuping Shi, Shuping Shi, Stan Hurn and Peter C. B. Phillips
Macquarie UniversityDepartment of Economics, Macquarie University, Queensland University of Technology - School of Economics and Finance and Yale University - Cowles Foundation
Downloads 72 (410,754)
Citation 3

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Time-varying Granger causality, subsample Wald tests, Money-Income

Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 49 Posted: 01 Sep 2018
Shuping Shi, Shuping Shi, Stan Hurn and Peter C. B. Phillips
Macquarie UniversityDepartment of Economics, Macquarie University, Queensland University of Technology - School of Economics and Finance and Yale University - Cowles Foundation
Downloads 63 (441,555)
Citation 5

Abstract:

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Time-varying Granger causality, Subsample Wald tests, Money-income causality

9.

Energy Consumption and Economic Growth in the United States

Number of pages: 15 Posted: 23 Apr 2015
Vipin Arora, Shuping Shi and Shuping Shi
United States Energy Information Administration and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 133 (272,415)
Citation 2

Abstract:

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energy consumption, substitution effect, economic activity, Granger causality, time-varying

10.

An Application of Models of Speculative Behaviour to Oil Prices

CAMA Working Paper No. 11/2011
Number of pages: 9 Posted: 16 May 2011
Shuping Shi, Shuping Shi and Vipin Arora
Macquarie UniversityDepartment of Economics, Macquarie University and affiliation not provided to SSRN
Downloads 108 (316,537)
Citation 4

Abstract:

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Oil price, bubble, speculative behavior, three-regime, estimation

Unit Root Test with High-Frequency Data

Number of pages: 53 Posted: 18 Jul 2019
Sébastien Laurent, Shuping Shi and Shuping Shi
AMSE and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 81 (383,612)

Abstract:

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unit root test, random walk, in-fill asymptotic, jumps, GARCH, periodicity, microstructure noise

Unit Root Test with High-Frequency Data

Macquarie Business School Research Paper
Number of pages: 54 Posted: 04 Sep 2019
Sébastien Laurent, Shuping Shi and Shuping Shi
AMSE and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 23 (647,162)

Abstract:

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unit root test, random walk, in-fill asymptotic, jumps, GARCH, periodicity, microstructure noise

12.
Downloads 102 (328,959)
Citation 1

Bubble Formation and Networks in Housing Markets

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 36 Posted: 15 Mar 2018
Shuping Shi, Shuping Shi and Ben Zhe Wang
Macquarie UniversityDepartment of Economics, Macquarie University and Macquarie University, Macquarie Business School
Downloads 74 (404,409)
Citation 1

Abstract:

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Bubbles, housing market, real-time, identification, bubble network

Bubble Formation and Networks in Housing Markets

Number of pages: 35 Posted: 01 Mar 2018
Shuping Shi, Shuping Shi and Ben Zhe Wang
Macquarie UniversityDepartment of Economics, Macquarie University and Macquarie University, Macquarie Business School
Downloads 28 (611,062)

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Bubbles, housing market, real-time, identification, bubble network

Change Detection and the Causal Impact of the Yield Curve

Cowles Foundation Discussion Paper No. 2058
Number of pages: 68 Posted: 08 Dec 2016
Stan Hurn, Peter C. B. Phillips, Shuping Shi and Shuping Shi
Queensland University of Technology - School of Economics and Finance, Yale University - Cowles Foundation and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 97 (342,386)
Citation 8

Abstract:

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Causality, Forward recursion, Hypothesis testing, Output, Recursive rolling test, Rolling window, Yield curve

Change Detection and the Causal Impact of the Yield Curve

Journal of Time Series Analysis, Vol. 39, Issue 6, pp. 966-987, 2018
Number of pages: 22 Posted: 07 Oct 2018
Shuping Shi, Shuping Shi, Peter C. B. Phillips and Stan Hurn
Macquarie UniversityDepartment of Economics, Macquarie University, Yale University - Cowles Foundation and Queensland University of Technology - School of Economics and Finance
Downloads 1 (837,300)
Citation 4
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Causality, forward recursion, hypothesis testing, recursive evolving test, rolling window, yield curve, real economic activity

14.

Australian Housing Market Booms: Fundamentals or Speculation?

Macquarie Business School Research Paper
Number of pages: 26 Posted: 04 Sep 2019
Shuping Shi, Shuping Shi, Arafat Rahman and Ben Zhe Wang
Macquarie UniversityDepartment of Economics, Macquarie University, Macquarie University and Macquarie University, Macquarie Business School
Downloads 90 (356,258)
Citation 2

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housing price, speculation, economic fundamental, decomposition, vector autoregressive model, PSY procedure

15.

Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior

Cowles Foundation Discussion Paper No. 1842
Number of pages: 32 Posted: 09 Jan 2012
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University
Downloads 88 (361,313)
Citation 3

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Unit root test, Mildly explosive process, Recursive regression, Size and power

16.

Common Bubble Detection in Large Dimensional Financial Systems

Macquarie Business School Research Paper
Number of pages: 44 Posted: 10 Oct 2019 Last Revised: 27 Apr 2020
Ye Zoe Chen, Peter C. B. Phillips, Shuping Shi and Shuping Shi
Capital University of Economics and Business - International School of Economics and Management, Yale University - Cowles Foundation and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 87 (363,867)
Citation 4

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Common Bubbles, Mildly Explosive Process, Factor Analysis, Date Stamping, Real Estate Markets

Detecting Financial Collapse and Ballooning Sovereign Risk

Oxford Bulletin of Economics and Statistics, Vol. 81, Issue 6, pp. 1336-1361, 2019
Number of pages: 26 Posted: 02 Jun 2020
Peter C. B. Phillips, Shuping Shi and Shuping Shi
Yale University - Cowles Foundation and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 0
Citation 3
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Nonlinearities and Tests of Asset Price Bubbles

Number of pages: 12 Posted: 30 Oct 2014
Vipin Arora, Shuping Shi and Shuping Shi
United States Energy Information Administration and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 45 (516,021)

Abstract:

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Regime switching, Bubble, Linear approximation, Nonlinear specification

Nonlinearities and Tests of Asset Price Bubbles

Number of pages: 9 Posted: 30 May 2014
Vipin Arora, Shuping Shi and Shuping Shi
United States Energy Information Administration and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 32 (585,458)

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Regime switching, Bubble, Linear approximation, Nonlinear specification

19.

Speculative Bubbles or Market Fundamentals? An Investigation of US Regional Housing Markets

CAMA Working Paper No. 46/2016
Number of pages: 28 Posted: 27 Jul 2016 Last Revised: 27 May 2017
Shuping Shi and Shuping Shi
Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 74 (399,979)
Citation 10

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Speculative Bubbles, Housing Market, Fundamentals, Macroeconomic Conditions, Regional, Explosive

20.

Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles

HKIMR Working Paper No.17/2011
Number of pages: 32 Posted: 29 Jun 2011
Shuping Shi, Shuping Shi, Peter C. B. Phillips and Jun Yu
Macquarie UniversityDepartment of Economics, Macquarie University, Yale University - Cowles Foundation and Singapore Management University
Downloads 61 (442,580)

Abstract:

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Unit Root Test, Mildly Explosive Process, Recursive Regression, Size, Power

21.

Testing for Jumps in Near Non-Stationary Diffusion Processes

Macquarie University Faculty of Business & Economics Research Paper No. 4/2017
Number of pages: 26 Posted: 13 Oct 2017
Sébastien Laurent, Shuping Shi and Shuping Shi
AMSE and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 31 (576,765)

Abstract:

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Jumps, Ornstein-Uhlenbeck processes, random walk, local-to-unity, intraday data

22.

A Heterogenous Agent Foundation for Tests of Asset Price Bubbles

Number of pages: 16 Posted: 26 Jun 2013
Vipin Arora, Shuping Shi and Shuping Shi
Australian National University (ANU) and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 28 (594,691)
Citation 1

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Heterogenous agents, asset price, bubble, rational, regime switching

23.

Fractional Stochastic Volatility Model

Number of pages: 23 Posted: 09 Jan 2021 Last Revised: 12 Oct 2021
Shuping Shi, Shuping Shi, Xiaobin Liu and Jun Yu
Macquarie UniversityDepartment of Economics, Macquarie University, School of Economics, Academy of Financial Research, Zhejiang University and Singapore Management University
Downloads 27 (600,893)

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Fractional Brownian motion; stochastic volatility; long memory; variance-covariance matrix; spectral density; rough volatility

24.

Specification Sensitivity in Right‐Tailed Unit Root Testing for Explosive Behaviour

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 3, pp. 315-333, 2014
Number of pages: 19 Posted: 24 Apr 2014
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University
Downloads 0 (818,037)
Citation 7
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