Shuping Shi

Department of Economics, Macquarie University

Associate Professor

New South Wales 2109

Australia

SCHOLARLY PAPERS

24

DOWNLOADS
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SSRN RANKINGS

Top 14,533

in Total Papers Downloads

3,993

SSRN CITATIONS
Rank 5,425

SSRN RANKINGS

Top 5,425

in Total Papers Citations

147

CROSSREF CITATIONS

93

Scholarly Papers (24)

1.
Downloads 949 ( 28,539)
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 and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 840 (33,399)
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 and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 109 (295,859)
Citation 18

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: 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 and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 589 (53,901)
Citation 106

Abstract:

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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 and David Tan
Macquarie University - Department of Applied Finance and Actuarial Studies, Department of Economics, Macquarie University and University of New South Wales (UNSW)
Downloads 468 (72,636)
Citation 8

Abstract:

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

4.
Downloads 339 (105,646)
Citation 4

Financial Bubble Implosion

Number of pages: 46 Posted: 28 Aug 2014
Peter C. B. Phillips and Shuping Shi
Yale University - Cowles Foundation and Department of Economics, Macquarie University
Downloads 192 (186,865)
Citation 5

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 and Shuping Shi
Yale University - Cowles Foundation and Department of Economics, Macquarie University
Downloads 147 (235,481)
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 and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 194 (185,133)
Citation 20

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
Deakin University, Department of Economics, Macquarie University and University of Wollongong
Downloads 152 (228,472)

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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
Department of Economics, Macquarie University
Downloads 139 (245,668)
Citation 7

Abstract:

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

8.

Energy Consumption and Economic Growth in the United States

Number of pages: 15 Posted: 23 Apr 2015
Vipin Arora and Shuping Shi
United States Energy Information Administration and Department of Economics, Macquarie University
Downloads 131 (257,344)
Citation 2

Abstract:

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energy consumption, substitution effect, economic activity, Granger causality, time-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, Stan Hurn and Peter C. B. Phillips
Department of Economics, Macquarie University, Queensland University of Technology - School of Economics and Finance and Yale University - Cowles Foundation
Downloads 69 (393,993)
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, Stan Hurn and Peter C. B. Phillips
Department of Economics, Macquarie University, Queensland University of Technology - School of Economics and Finance and Yale University - Cowles Foundation
Downloads 59 (427,827)
Citation 5

Abstract:

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

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 and Vipin Arora
Department of Economics, Macquarie University and affiliation not provided to SSRN
Downloads 106 (299,871)
Citation 3

Abstract:

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

11.
Downloads 100 (311,870)
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 and Ben Zhe Wang
Department of Economics, Macquarie University and Macquarie University, Macquarie Business School
Downloads 72 (384,717)
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 and Ben Zhe Wang
Department of Economics, Macquarie University and Macquarie University, Macquarie Business School
Downloads 28 (573,127)

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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 and Shuping Shi
Queensland University of Technology - School of Economics and Finance, Yale University - Cowles Foundation and Department of Economics, Macquarie University
Downloads 95 (324,822)
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, Peter C. B. Phillips and Stan Hurn
Department of Economics, Macquarie University, Yale University - Cowles Foundation and Queensland University of Technology - School of Economics and Finance
Downloads 1 (790,750)
Citation 4
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Causality, forward recursion, hypothesis testing, recursive evolving test, rolling window, yield curve, real economic activity

Unit Root Test with High-Frequency Data

Number of pages: 53 Posted: 18 Jul 2019
Sébastien Laurent and Shuping Shi
AMSE and Department of Economics, Macquarie University
Downloads 70 (390,677)

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 and Shuping Shi
AMSE and Department of Economics, Macquarie University
Downloads 23 (607,336)

Abstract:

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

14.

Australian Housing Market Booms: Fundamentals or Speculation?

Macquarie Business School Research Paper
Number of pages: 26 Posted: 04 Sep 2019
Shuping Shi, Arafat Rahman and Ben Zhe Wang
Department of Economics, Macquarie University, Macquarie University and Macquarie University, Macquarie Business School
Downloads 82 (352,972)
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 and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 82 (352,972)
Citation 2

Abstract:

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

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 and Shuping Shi
Yale University - Cowles Foundation and Department 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 and Shuping Shi
United States Energy Information Administration and Department of Economics, Macquarie University
Downloads 44 (488,262)

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 and Shuping Shi
United States Energy Information Administration and Department of Economics, Macquarie University
Downloads 32 (549,088)

Abstract:

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Regime switching, Bubble, Linear approximation, Nonlinear specification

18.

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
Capital University of Economics and Business - International School of Economics and Management, Yale University - Cowles Foundation and Department of Economics, Macquarie University
Downloads 72 (380,226)
Citation 4

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

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
Department of Economics, Macquarie University
Downloads 72 (380,226)
Citation 9

Abstract:

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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, Peter C. B. Phillips and Jun Yu
Department of Economics, Macquarie University, Yale University - Cowles Foundation and Singapore Management University
Downloads 58 (424,993)

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 and Shuping Shi
AMSE and Department of Economics, Macquarie University
Downloads 30 (546,273)

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 and Shuping Shi
Australian National University (ANU) and Department of Economics, Macquarie University
Downloads 27 (563,499)
Citation 1

Abstract:

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

23.

Persistent and Rough Volatility

Number of pages: 38 Posted: 09 Jan 2021
Xiaobin Liu, Shuping Shi and Jun Yu
School of Economics, Academy of Financial Research, Zhejiang University, Department of Economics, Macquarie University and Singapore Management University
Downloads 10 (679,504)

Abstract:

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Fractional Brownian motion; stochastic volatility; memory signature plot; long memory; asymptotic; variance-covariance matrix; 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 and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 0 (773,343)
Citation 6
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