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Details about Shuping Shi

E-mail:
Homepage:http://sites.google.com/site/shupingshi/home/
Workplace:Department of Economics, Faculty of Business and Economics, Macquarie University, (more information at EDIRC)

Access statistics for papers by Shuping Shi.

Last updated 2020-06-03. Update your information in the RePEc Author Service.

Short-id: psh404


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Working Papers

2020

  1. Diagnosing housing fever with an econometric thermometer
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads

2018

  1. Real Time Monitoring of Asset Markets: Bubbles and Crises
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  2. Stock Market Bubble Migration: From Shanghai to Hong Kong
    Post-Print, HAL
  3. Volatility Estimation and Jump Detection for drift-diffusion Processes
    Working Papers, HAL Downloads
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2018) Downloads

2017

  1. Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?
    Post-Print, HAL View citations (12)
    See also Journal Article in Pacific Economic Review (2017)

2016

  1. "Change Detection and the Causal Impact of the Yield Curve
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2015) Downloads View citations (1)

    See also Journal Article in Journal of Time Series Analysis (2018)
  2. Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2016) Downloads View citations (4)
  3. Speculative bubbles or market fundamentals? An investigation of US regional housing markets
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    See also Journal Article in Economic Modelling (2017)

2014

  1. Financial Bubble Implosion
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)

2013

  1. A Heterogenous Agent Foundation for Tests of Asset Price Bubbles
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (1)
  2. Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500
    Working Papers, Singapore Management University, School of Economics Downloads View citations (39)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (36)
  3. Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
    Working Papers, Singapore Management University, School of Economics Downloads View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (4)

2012

  1. Identifying Speculative Bubbles with an Infinite Hidden Markov Model
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2012) Downloads View citations (2)
  2. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    Also in Working Papers, Singapore Management University, School of Economics (2011) Downloads View citations (4)
    Working Papers, Singapore Management University, School of Economics (2012) Downloads View citations (4)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2014)
  3. Testing for Multiple Bubbles
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (18)
    Also in Working Papers, Singapore Management University, School of Economics (2011) Downloads View citations (23)
    Working Papers, Singapore Management University, School of Economics (2012) Downloads View citations (21)

2011

  1. AN APPLICATION OF MODELS OF SPECULATIVE BEHAVIOUR TO OIL PRICES
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (4)
    See also Journal Article in Economics Letters (2012)
  2. Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
    Also in Working Papers, Hong Kong Institute for Monetary Research (2011) Downloads View citations (3)
  3. Testing for Explosive Behaviour in Relative Inflation Measures: Implications for Monetary Policy
    Monash Economics Working Papers, Monash University, Department of Economics Downloads View citations (1)
    See also Journal Article in Journal of Macroeconomics (2013)

2010

  1. Bubbles or Volatility: A Markov-Switching Unit Root Test with Regime-Varying Error Variance
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics Downloads View citations (1)

Journal Articles

2019

  1. Bubble detection and sector trading in real time
    Quantitative Finance, 2019, 19, (2), 247-263 Downloads View citations (3)
  2. Detecting Financial Collapse and Ballooning Sovereign Risk
    Oxford Bulletin of Economics and Statistics, 2019, 81, (6), 1336-1361 Downloads View citations (1)
  3. Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors
    Econometrics, 2019, 7, (1), 1-20 Downloads

2018

  1. Change Detection and the Causal Impact of the Yield Curve
    Journal of Time Series Analysis, 2018, 39, (6), 966-987 Downloads View citations (8)
    See also Working Paper (2016)
  2. FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION
    Econometric Theory, 2018, 34, (4), 705-753 Downloads View citations (7)

2017

  1. An empirical investigation of herding in the U.S. stock market
    Economic Modelling, 2017, 67, (C), 184-192 Downloads View citations (4)
  2. Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?
    Pacific Economic Review, 2017, 22, (3), 276-292 Downloads View citations (12)
    See also Working Paper (2017)
  3. Speculative bubbles or market fundamentals? An investigation of US regional housing markets
    Economic Modelling, 2017, 66, (C), 101-111 Downloads View citations (12)
    See also Working Paper (2016)

2016

  1. Dating the Timeline of House Price Bubbles in Australian Capital Cities
    The Economic Record, 2016, 92, (299), 590-605 Downloads View citations (9)
  2. Energy consumption and economic growth in the United States
    Applied Economics, 2016, 48, (39), 3763-3773 Downloads View citations (18)
  3. Identifying Speculative Bubbles Using an Infinite Hidden Markov Model
    Journal of Financial Econometrics, 2016, 14, (1), 159-184 Downloads View citations (5)
  4. Nonlinearities and tests of asset price bubbles
    Empirical Economics, 2016, 50, (4), 1421-1433 Downloads View citations (2)

2014

  1. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour
    Oxford Bulletin of Economics and Statistics, 2014, 76, (3), 315-333 Downloads View citations (41)
    See also Working Paper (2012)

2013

  1. Specification sensitivities in the Markov-switching unit root test for bubbles
    Empirical Economics, 2013, 45, (2), 697-713 Downloads View citations (12)
  2. The divergence between core and headline inflation: Implications for consumers’ inflation expectations
    Journal of Macroeconomics, 2013, 38, (PB), 497-504 Downloads View citations (12)
    See also Working Paper (2011)

2012

  1. An application of models of speculative behaviour to oil prices
    Economics Letters, 2012, 115, (3), 469-472 Downloads View citations (31)
    See also Working Paper (2011)
 
Page updated 2020-08-07