Shuping Shi

Department of Economics, Macquarie University

Associate Professor

New South Wales 2109

Australia

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 15,061

SSRN RANKINGS

Top 15,061

in Total Papers Downloads

3,508

SSRN CITATIONS
Rank 5,852

SSRN RANKINGS

Top 5,852

in Total Papers Citations

113

CROSSREF CITATIONS

91

Scholarly Papers (23)

1.
Downloads 866 ( 29,548)
Citation 15

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 763 (34,669)
Citation 20

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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 103 (285,238)
Citation 17

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 550 (53,627)
Citation 90

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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 Economics, Department of Economics, Macquarie University and University of New South Wales (UNSW)
Downloads 434 (72,828)
Citation 7

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

4.
Downloads 322 (102,659)
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 190 (174,094)
Citation 3

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 132 (237,524)
Citation 3

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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 177 (185,574)
Citation 18

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

6.

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 133 (235,374)
Citation 6

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

7.

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 126 (245,221)
Citation 1

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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 61 (390,346)
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 42 (462,498)
Citation 4

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

9.

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 101 (287,175)
Citation 3

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

10.
Downloads 93 (302,961)
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 66 (374,591)
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 27 (539,713)

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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 89 (313,988)
Citation 6

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 (743,163)
Citation 3
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Causality, forward recursion, hypothesis testing, recursive evolving test, rolling window, yield curve, real economic activity

12.

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 76 (342,446)
Citation 2

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

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 54 (414,727)

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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 21 (579,874)

Abstract:

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

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 (453,799)

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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 31 (516,142)

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Regime switching, Bubble, Linear approximation, Nonlinear specification

15.

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 (353,094)
Citation 8

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

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
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17.

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 56 (401,528)
Citation 2

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

18.

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 55 (404,910)

Abstract:

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

19.

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 44 (445,161)
Citation 3

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

20.

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 28 (519,213)

Abstract:

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

21.

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 26 (530,553)
Citation 1

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

22.

Diagnosing Housing Fever with an Econometric Thermometer

Number of pages: 30 Posted: 22 May 2020
Shuping Shi and Peter C. B. Phillips
Department of Economics, Macquarie University and Yale University - Cowles Foundation
Downloads 6 (663,389)

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Housing bubbles; periodically collapsing; unobservable; fundamentals; explosive; IVX; Australia housing markets

23.

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 (726,980)
Citation 4
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