Details about Shuping Shi

Access statistics for papers by Shuping Shi.

Last updated 2024-03-06. Update your information in the RePEc Author Service.

Short-id: psh404

Working Papers

2023

1. Housing Fever in Australia 2020-2023: Insights from an Econometric Thermometer
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
2. Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications
   Papers, arXiv.org

2022

3. Econometric Analysis of Asset Price Bubbles
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
4. Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise
   Economics and Statistics Working Papers, Singapore Management University, School of Economics
5. Unit Root Test with High-Frequency Data
   Post-Print, HAL View citations (2)
   See also Journal Article UNIT ROOT TEST WITH HIGH-FREQUENCY DATA, Econometric Theory, Cambridge University Press (2022) View citations (6) (2022)
6. Weak Identification of Long Memory with Implications for Inference
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
   Also in Economics and Statistics Working Papers, Singapore Management University, School of Economics (2022) View citations (1)

2021

7. Different Strokes for Different Folks: Long Memory and Roughness
   Economics and Statistics Working Papers, Singapore Management University, School of Economics

2020

8. Common Bubble Detection in Large Dimensional Financial Systems
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
   See also Journal Article Common Bubble Detection in Large Dimensional Financial Systems*, Journal of Financial Econometrics, Oxford University Press (2023) View citations (4) (2023)
9. Diagnosing Housing Fever with an Econometric Thermometer
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2020) View citations (2)
   See also Journal Article Diagnosing housing fever with an econometric thermometer, Journal of Economic Surveys, Wiley Blackwell (2023) View citations (5) (2023)
10. Gold as a Financial Instrument
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article Gold as a financial instrument, Journal of Commodity Markets, Elsevier (2022) View citations (4) (2022)
11. Persistent and Rough Volatility
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (3)
12. Volatility estimation and jump detection for drift–diffusion processes
    Post-Print, HAL View citations (7)
    Also in Working Papers, HAL (2018)
    AMSE Working Papers, Aix-Marseille School of Economics, France (2018)
    See also Journal Article Volatility estimation and jump detection for drift–diffusion processes, Journal of Econometrics, Elsevier (2020) View citations (9) (2020)

2018

13. Real Time Monitoring of Asset Markets: Bubbles and Crises
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
14. Stock Market Bubble Migration: From Shanghai to Hong Kong
    Post-Print, HAL
    See also Chapter Stock Market Bubble Migration: From Shanghai to Hong Kong, Dynamic Modeling and Econometrics in Economics and Finance, Springer (2018) (2018)

2017

15. Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?
    Post-Print, HAL View citations (34)
    See also Journal Article Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?, Pacific Economic Review, Wiley Blackwell (2017) View citations (36) (2017)

2016

16. "Change Detection and the Causal Impact of the Yield Curve
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2015) View citations (3)
    See also Journal Article Change Detection and the Causal Impact of the Yield Curve, Journal of Time Series Analysis, Wiley Blackwell (2018) View citations (117) (2018)
17. Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2016) View citations (11)
18. 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 View citations (1)
    See also Journal Article Speculative bubbles or market fundamentals? An investigation of US regional housing markets, Economic Modelling, Elsevier (2017) View citations (36) (2017)

2014

19. Financial Bubble Implosion
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)

2013

20. 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)
21. 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 (93)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (86)
    See also Journal Article TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2015) View citations (183) (2015)
22. Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (5)
    Working Papers, Singapore Management University, School of Economics (2013) View citations (6)
    See also Journal Article TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2015) View citations (93) (2015)

2012

23. Identifying Speculative Bubbles with an Infinite Hidden Markov Model
    Working Paper series, Rimini Centre for Economic Analysis View citations (6)
    Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (2)
24. 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, Sim Kee Boon Institute for Financial Economics (2011)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) View citations (3)
    Working Papers, Singapore Management University, School of Economics (2011) View citations (8)
    See also Journal Article Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2014) View citations (90) (2014)
25. Testing for Multiple Bubbles
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (51)
    Also in Working Papers, Singapore Management University, School of Economics (2011) View citations (52)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)
    Working Papers, Singapore Management University, School of Economics (2012) View citations (78)

2011

26. 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 An application of models of speculative behaviour to oil prices, Economics Letters, Elsevier (2012) View citations (44) (2012)
27. 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)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)
28. Testing for Explosive Behaviour in Relative Inflation Measures: Implications for Monetary Policy
    Monash Economics Working Papers, Monash University, Department of Economics View citations (2)
    See also Journal Article The divergence between core and headline inflation: Implications for consumers’ inflation expectations, Journal of Macroeconomics, Elsevier (2013) View citations (21) (2013)

2010

29. 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 (2)

Journal Articles

2023

1. Common Bubble Detection in Large Dimensional Financial Systems*
   Journal of Financial Econometrics, 2023, 21, (4), 989-1063 View citations (4)
   See also Working Paper Common Bubble Detection in Large Dimensional Financial Systems, Cowles Foundation Discussion Papers (2020) View citations (2) (2020)
2. Diagnosing housing fever with an econometric thermometer
   Journal of Economic Surveys, 2023, 37, (1), 159-186 View citations (5)
   See also Working Paper Diagnosing Housing Fever with an Econometric Thermometer, CAMA Working Papers (2020) View citations (2) (2020)
3. Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer
   Australian Economic Review, 2023, 56, (3), 357-362
4. Volatility Puzzle: Long Memory or Antipersistency
   Management Science, 2023, 69, (7), 3861-3883 View citations (3)

2022

5. Gold as a financial instrument
   Journal of Commodity Markets, 2022, 27, (C) View citations (4)
   See also Working Paper Gold as a Financial Instrument, MPRA Paper (2020) View citations (2) (2020)
6. Housing networks and driving forces
   Journal of Banking & Finance, 2022, 134, (C) View citations (8)
7. UNIT ROOT TEST WITH HIGH-FREQUENCY DATA
   Econometric Theory, 2022, 38, (1), 113-171 View citations (6)
   See also Working Paper Unit Root Test with High-Frequency Data, Post-Print (2022) View citations (2) (2022)

2020

8. Australian Housing Market Booms: Fundamentals or Speculation?☆
   The Economic Record, 2020, 96, (315), 381-401 View citations (10)
9. Volatility estimation and jump detection for drift–diffusion processes
   Journal of Econometrics, 2020, 217, (2), 259-290 View citations (9)
   See also Working Paper Volatility estimation and jump detection for drift–diffusion processes, Post-Print (2020) View citations (7) (2020)

2019

10. Bubble detection and sector trading in real time
    Quantitative Finance, 2019, 19, (2), 247-263 View citations (13)
11. Detecting Financial Collapse and Ballooning Sovereign Risk
    Oxford Bulletin of Economics and Statistics, 2019, 81, (6), 1336-1361 View citations (30)
12. Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors
    Econometrics, 2019, 7, (1), 1-20 View citations (4)

2018

13. Change Detection and the Causal Impact of the Yield Curve
    Journal of Time Series Analysis, 2018, 39, (6), 966-987 View citations (117)
    See also Working Paper "Change Detection and the Causal Impact of the Yield Curve, Cowles Foundation Discussion Papers (2016) View citations (9) (2016)
14. FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION
    Econometric Theory, 2018, 34, (4), 705-753 View citations (82)

2017

15. An empirical investigation of herding in the U.S. stock market
    Economic Modelling, 2017, 67, (C), 184-192 View citations (27)
16. 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 (36)
    See also Working Paper Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?, Post-Print (2017) View citations (34) (2017)
17. Speculative bubbles or market fundamentals? An investigation of US regional housing markets
    Economic Modelling, 2017, 66, (C), 101-111 View citations (36)
    See also Working Paper Speculative bubbles or market fundamentals? An investigation of US regional housing markets, CAMA Working Papers (2016) View citations (1) (2016)

2016

18. Dating the Timeline of House Price Bubbles in Australian Capital Cities
    The Economic Record, 2016, 92, (299), 590-605 View citations (38)
19. Energy consumption and economic growth in the United States
    Applied Economics, 2016, 48, (39), 3763-3773 View citations (44)
20. Identifying Speculative Bubbles Using an Infinite Hidden Markov Model
    Journal of Financial Econometrics, 2016, 14, (1), 159-184 View citations (20)
21. Nonlinearities and tests of asset price bubbles
    Empirical Economics, 2016, 50, (4), 1421-1433 View citations (3)

2015

22. TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
    International Economic Review, 2015, 56, (4), 1043-1078 View citations (183)
    See also Working Paper Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500, Working Papers (2013) View citations (93) (2013)
23. TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS
    International Economic Review, 2015, 56, (4), 1079-1134 View citations (93)
    See also Working Paper Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors, Working Papers (2013) (2013)

2014

24. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour
    Oxford Bulletin of Economics and Statistics, 2014, 76, (3), 315-333 View citations (90)
    See also Working Paper Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior, Working Papers (2012) View citations (4) (2012)

2013

25. Specification sensitivities in the Markov-switching unit root test for bubbles
    Empirical Economics, 2013, 45, (2), 697-713 View citations (25)
26. The divergence between core and headline inflation: Implications for consumers’ inflation expectations
    Journal of Macroeconomics, 2013, 38, (PB), 497-504 View citations (21)
    See also Working Paper Testing for Explosive Behaviour in Relative Inflation Measures: Implications for Monetary Policy, Monash Economics Working Papers (2011) View citations (2) (2011)

2012

27. An application of models of speculative behaviour to oil prices
    Economics Letters, 2012, 115, (3), 469-472 View citations (44)
    See also Working Paper AN APPLICATION OF MODELS OF SPECULATIVE BEHAVIOUR TO OIL PRICES, CAMA Working Papers (2011) View citations (4) (2011)

Chapters

2018

1. Stock Market Bubble Migration: From Shanghai to Hong Kong
   Springer
   See also Working Paper Stock Market Bubble Migration: From Shanghai to Hong Kong, HAL (2018) (2018)