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/

  • Department of Economics, Macquarie University

  • Macquarie University

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 14,370

SSRN RANKINGS

Top 14,370

in Total Papers Downloads

5,618

SSRN CITATIONS
Rank 6,514

SSRN RANKINGS

Top 6,514

in Total Papers Citations

172

CROSSREF CITATIONS

60

Scholarly Papers (25)

Actions:
Email selected abstracts
1.

Testing for Multiple Bubbles

Downloads 1,291 (25,433)
Citation 11

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
University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 1,153 (29,540)
Citation 26

Abstract:

Loading...

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
University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 138 (332,446)
Citation 21

Abstract:

Loading...

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

2.

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
University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 767 (52,868)
Citation 109

Abstract:

Loading...

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 558 (79,722)
Citation 8

Abstract:

Loading...

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

4.

Financial Bubble Implosion

Downloads 411 (115,207)
Citation 4

Financial Bubble Implosion

Number of pages: 46 Posted: 28 Aug 2014
Peter C. B. Phillips, Shuping Shi and Shuping Shi
University of Auckland Business School and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 217 (223,977)

Abstract:

Loading...

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
University of Auckland Business School and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 194 (248,407)
Citation 5

Abstract:

Loading...

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

5.

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 259 (189,830)

Abstract:

Loading...

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

6.

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
University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 237 (206,294)
Citation 26

Abstract:

Loading...

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

7.

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

Downloads 203 (238,582)
Citation 7

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 University of Auckland Business School
Downloads 108 (399,573)
Citation 5

Abstract:

Loading...

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

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 University of Auckland Business School
Downloads 95 (437,016)
Citation 5

Abstract:

Loading...

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

8.

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, University of Auckland Business School and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 174 (273,732)
Citation 4

Abstract:

Loading...

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

9.

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 165 (286,419)
Citation 9

Abstract:

Loading...

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

10.

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 161 (292,413)
Citation 2

Abstract:

Loading...

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

11.

Bubble Formation and Networks in Housing Markets

Downloads 157 (298,738)
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 102 (416,282)
Citation 1

Abstract:

Loading...

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 55 (596,644)
Citation 1

Abstract:

Loading...

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

12.

Unit Root Test with High-Frequency Data

Downloads 154 (303,463)

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 111 (391,839)

Abstract:

Loading...

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 43 (664,947)

Abstract:

Loading...

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

13.

Realized Drift

Number of pages: 45 Posted: 27 Apr 2022
Sébastien Laurent, Roberto Renò, Shuping Shi and Shuping Shi
AMSE, University of Verona - Department of Economics and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 129 (349,094)

Abstract:

Loading...

Drift, High-frequency Data, Serial Covariance, Volatility Forecasting

14.

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 126 (355,241)
Citation 3

Abstract:

Loading...

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

15.

Detecting Financial Collapse and Ballooning Sovereign Risk

Downloads 0 (357,360)
Citation 4

Detecting Financial Collapse and Ballooning Sovereign Risk

Oxford Bulletin of Economics and Statistics, 81(6), 1336-1361. DOI: 10.1111/obes.12307. , The University of Auckland Business School Research Paper Series
Posted: 21 Mar 2022
Peter C. B. Phillips, Shuping Shi and Shuping Shi
University of Auckland Business School and Macquarie UniversityDepartment of Economics, Macquarie University

Abstract:

Loading...

16.

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, University of Auckland Business School and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 118 (372,762)
Citation 8

Abstract:

Loading...

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

17.

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 111 (389,542)
Citation 2

Abstract:

Loading...

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

18.

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
University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 105 (404,991)
Citation 4

Abstract:

Loading...

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

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 100 (419,137)
Citation 12

Abstract:

Loading...

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

20.

Nonlinearities and Tests of Asset Price Bubbles

Downloads 100 (419,137)

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 55 (596,376)

Abstract:

Loading...

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 45 (652,528)

Abstract:

Loading...

Regime switching, Bubble, Linear approximation, Nonlinear specification

21.

Weak Identification of Long Memory with Implications for Inference

Number of pages: 40 Posted: 27 Jun 2022
Jia Li, Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Singapore Management University, University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 87 (458,148)

Abstract:

Loading...

Realized volatility; Weak identification; Disjoint confidence sets; Trading volume; Long memory

22.

Volatility Puzzle

Number of pages: 39 Posted: 10 Jan 2022
Shuping Shi, Shuping Shi and Jun Yu
Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 63 (548,633)

Abstract:

Loading...

Long memory; fractional integration; roughness; short-run dynamics; realized volatility

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 - School of Economics
Downloads 62 (553,002)

Abstract:

Loading...

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

24.

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 42 (655,522)

Abstract:

Loading...

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

25.

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 38 (679,966)
Citation 1

Abstract:

Loading...

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