Details about Shuping Shi
Access statistics for papers by Shuping Shi.
Last updated 2022-02-21. Update your information in the RePEc Author Service.
Short-id: psh404
Jump to Journal Articles Chapters
Working Papers
2022
- Unit Root Test with High-Frequency Data
Post-Print, HAL
See also Journal Article in Econometric Theory (2022)
2021
- Different Strokes for Different Folks: Long Memory and Roughness
Economics and Statistics Working Papers, Singapore Management University, School of Economics 
2020
- Common Bubble Detection in Large Dimensional Financial Systems
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Diagnosing Housing Fever with an Econometric Thermometer
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020) View citations (1)
- Gold as a Financial Instrument
MPRA Paper, University Library of Munich, Germany
- Persistent and Rough Volatility
Economics and Statistics Working Papers, Singapore Management University, School of Economics
- Volatility estimation and jump detection for drift–diffusion processes
Post-Print, HAL View citations (2)
Also in Working Papers, HAL (2018)
AMSE Working Papers, Aix-Marseille School of Economics, France (2018)
See also Journal Article in Journal of Econometrics (2020)
2018
- Real Time Monitoring of Asset Markets: Bubbles and Crises
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
- Stock Market Bubble Migration: From Shanghai to Hong Kong
Post-Print, HAL
See also Chapter (2018)
2017
- Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?
Post-Print, HAL View citations (23)
See also Journal Article in Pacific Economic Review (2017)
2016
- "Change Detection and the Causal Impact of the Yield Curve
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
Also in NCER Working Paper Series, National Centre for Econometric Research (2015) View citations (2)
See also Journal Article in Journal of Time Series Analysis (2018)
- Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
NCER Working Paper Series, National Centre for Econometric Research View citations (8)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2016) View citations (7)
- 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 in Economic Modelling (2017)
2014
- Financial Bubble Implosion
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
2013
- 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)
- 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 (55)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (42)
See also Journal Article in International Economic Review (2015)
- Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
Working Papers, Singapore Management University, School of Economics View citations (5)
Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2013)
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (4)
See also Journal Article in International Economic Review (2015)
2012
- Identifying Speculative Bubbles with an Infinite Hidden Markov Model
Working Paper series, Rimini Centre for Economic Analysis View citations (5)
Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (2)
- Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)
Working Papers, Singapore Management University, School of Economics (2012) View citations (4)
Working Papers, Singapore Management University, School of Economics (2011) View citations (8)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2014)
- Testing for Multiple Bubbles
Working Papers, Singapore Management University, School of Economics View citations (67)
Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)
Working Papers, Singapore Management University, School of Economics (2011) View citations (48)
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) View citations (21)
2011
- 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)
- 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, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)
Working Papers, Hong Kong Institute for Monetary Research (2011) View citations (3)
- 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
- 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
2022
- Housing networks and driving forces
Journal of Banking & Finance, 2022, 134, (C) View citations (1)
- UNIT ROOT TEST WITH HIGH-FREQUENCY DATA
Econometric Theory, 2022, 38, (1), 113-171
See also Working Paper (2022)
2020
- Australian Housing Market Booms: Fundamentals or Speculation?☆
The Economic Record, 2020, 96, (315), 381-401 View citations (4)
- Volatility estimation and jump detection for drift–diffusion processes
Journal of Econometrics, 2020, 217, (2), 259-290 View citations (2)
See also Working Paper (2020)
2019
- Bubble detection and sector trading in real time
Quantitative Finance, 2019, 19, (2), 247-263 View citations (8)
- Detecting Financial Collapse and Ballooning Sovereign Risk
Oxford Bulletin of Economics and Statistics, 2019, 81, (6), 1336-1361 View citations (9)
- Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors
Econometrics, 2019, 7, (1), 1-20 View citations (3)
2018
- Change Detection and the Causal Impact of the Yield Curve
Journal of Time Series Analysis, 2018, 39, (6), 966-987 View citations (33)
See also Working Paper (2016)
- FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION
Econometric Theory, 2018, 34, (4), 705-753 View citations (34)
2017
- An empirical investigation of herding in the U.S. stock market
Economic Modelling, 2017, 67, (C), 184-192 View citations (14)
- 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 (23)
See also Working Paper (2017)
- Speculative bubbles or market fundamentals? An investigation of US regional housing markets
Economic Modelling, 2017, 66, (C), 101-111 View citations (19)
See also Working Paper (2016)
2016
- Dating the Timeline of House Price Bubbles in Australian Capital Cities
The Economic Record, 2016, 92, (299), 590-605 View citations (26)
- Energy consumption and economic growth in the United States
Applied Economics, 2016, 48, (39), 3763-3773 View citations (24)
- Identifying Speculative Bubbles Using an Infinite Hidden Markov Model
Journal of Financial Econometrics, 2016, 14, (1), 159-184 View citations (11)
- Nonlinearities and tests of asset price bubbles
Empirical Economics, 2016, 50, (4), 1421-1433 View citations (2)
2015
- 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 (31)
See also Working Paper (2013)
- TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS
International Economic Review, 2015, 56, (4), 1079-1134 View citations (20)
See also Working Paper (2013)
2014
- Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour
Oxford Bulletin of Economics and Statistics, 2014, 76, (3), 315-333 View citations (59)
See also Working Paper (2012)
2013
- Specification sensitivities in the Markov-switching unit root test for bubbles
Empirical Economics, 2013, 45, (2), 697-713 View citations (20)
- The divergence between core and headline inflation: Implications for consumers’ inflation expectations
Journal of Macroeconomics, 2013, 38, (PB), 497-504 View citations (16)
See also Working Paper (2011)
2012
- An application of models of speculative behaviour to oil prices
Economics Letters, 2012, 115, (3), 469-472 View citations (39)
See also Working Paper (2011)
Chapters
2018
- Stock Market Bubble Migration: From Shanghai to Hong Kong
Springer
See also Working Paper (2018)
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