Details about Shuping Shi

Access statistics for papers by Shuping Shi.

Last updated 2021-03-10. Update your information in the RePEc Author Service.

Short-id: psh404

Working Papers

2020

1. Common Bubble Detection in Large Dimensional Financial Systems
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
2. Diagnosing Housing Fever with an Econometric Thermometer
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020)
3. Gold as a Financial Instrument
   MPRA Paper, University Library of Munich, Germany
4. Volatility estimation and jump detection for drift–diffusion processes
   Post-Print, HAL
   Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2018)
   Working Papers, HAL (2018)
   See also Journal Article in Journal of Econometrics (2020)

2018

5. Real Time Monitoring of Asset Markets: Bubbles and Crises
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
6. Stock Market Bubble Migration: From Shanghai to Hong Kong
   Post-Print, HAL

2017

7. Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?
   Post-Print, HAL View citations (16)
   See also Journal Article in Pacific Economic Review (2017)

2016

8. "Change Detection and the Causal Impact of the Yield Curve
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
   Also in NCER Working Paper Series, National Centre for Econometric Research (2015) View citations (1)
   See also Journal Article in Journal of Time Series Analysis (2018)
9. Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
   NCER Working Paper Series, National Centre for Econometric Research View citations (4)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2016) View citations (4)
10. 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
    See also Journal Article in Economic Modelling (2017)

2014

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

2013

12. 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 View citations (1)
13. Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500
    Working Papers, Singapore Management University, School of Economics View citations (43)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (40)
14. Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
    Working Papers, Singapore Management University, School of Economics View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (4)

2012

15. Identifying Speculative Bubbles with an Infinite Hidden Markov Model
    Working Paper series, Rimini Centre for Economic Analysis View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (2)
16. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
    Working Papers, Singapore Management University, School of Economics View citations (4)
    Also in Working Papers, Singapore Management University, School of Economics (2011) View citations (4)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) View citations (3)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2014)
17. Testing for Multiple Bubbles
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (19)
    Also in Working Papers, Singapore Management University, School of Economics (2011) View citations (25)
    Working Papers, Singapore Management University, School of Economics (2012) View citations (22)

2011

18. 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 View citations (4)
    See also Journal Article in Economics Letters (2012)
19. Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles
    Working Papers, Singapore Management University, School of Economics View citations (1)
    Also in Working Papers, Hong Kong Institute for Monetary Research (2011) View citations (3)
20. Testing for Explosive Behaviour in Relative Inflation Measures: Implications for Monetary Policy
    Monash Economics Working Papers, Monash University, Department of Economics View citations (1)
    See also Journal Article in Journal of Macroeconomics (2013)

2010

21. 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 View citations (1)

Journal Articles

2020

1. Volatility estimation and jump detection for drift–diffusion processes
   Journal of Econometrics, 2020, 217, (2), 259-290
   See also Working Paper (2020)

2019

2. Bubble detection and sector trading in real time
   Quantitative Finance, 2019, 19, (2), 247-263 View citations (5)
3. Detecting Financial Collapse and Ballooning Sovereign Risk
   Oxford Bulletin of Economics and Statistics, 2019, 81, (6), 1336-1361 View citations (4)
4. Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors
   Econometrics, 2019, 7, (1), 1-20

2018

5. Change Detection and the Causal Impact of the Yield Curve
   Journal of Time Series Analysis, 2018, 39, (6), 966-987 View citations (17)
   See also Working Paper (2016)
6. FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION
   Econometric Theory, 2018, 34, (4), 705-753 View citations (20)

2017

7. An empirical investigation of herding in the U.S. stock market
   Economic Modelling, 2017, 67, (C), 184-192 View citations (10)
8. Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?
   Pacific Economic Review, 2017, 22, (3), 276-292 View citations (16)
   See also Working Paper (2017)
9. Speculative bubbles or market fundamentals? An investigation of US regional housing markets
   Economic Modelling, 2017, 66, (C), 101-111 View citations (14)
   See also Working Paper (2016)

2016

10. Dating the Timeline of House Price Bubbles in Australian Capital Cities
    The Economic Record, 2016, 92, (299), 590-605 View citations (13)
11. Energy consumption and economic growth in the United States
    Applied Economics, 2016, 48, (39), 3763-3773 View citations (19)
12. Identifying Speculative Bubbles Using an Infinite Hidden Markov Model
    Journal of Financial Econometrics, 2016, 14, (1), 159-184 View citations (9)
13. Nonlinearities and tests of asset price bubbles
    Empirical Economics, 2016, 50, (4), 1421-1433 View citations (2)

2014

14. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour
    Oxford Bulletin of Economics and Statistics, 2014, 76, (3), 315-333 View citations (44)
    See also Working Paper (2012)

2013

15. Specification sensitivities in the Markov-switching unit root test for bubbles
    Empirical Economics, 2013, 45, (2), 697-713 View citations (14)
16. The divergence between core and headline inflation: Implications for consumers’ inflation expectations
    Journal of Macroeconomics, 2013, 38, (PB), 497-504 View citations (14)
    See also Working Paper (2011)

2012

17. An application of models of speculative behaviour to oil prices
    Economics Letters, 2012, 115, (3), 469-472 View citations (35)
    See also Working Paper (2011)