← All authors Shuping Shi Macquarie University (from arXiv:2303.13406, 2023) · ORCID · OpenAlex
40 papers in scope · 39 published · 1 on the econ.EM arXiv · 3,245 citations · h-index 20 (over the papers listed here)
Papers (1 of 40)
Optimal Bandwidth Selection for Forecasting under Parameter Instability
published 2026 · Journal of Financial Econometrics · first circulated 2024
with Yu Bai, Bin Peng, Wenying Yao, Yuqiang Bai
Uncovering mild drift in asset prices with intraday high-frequency data
published 2025 · Journal of Econometrics · 3 citations · first circulated 2024
Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven
published 2025 · Journal of Time Series Analysis · 5 citations
Weak Identification of Long Memory with Implications for Volatility Modeling
published 2025 · Review of Financial Studies · 6 citations
A Stepwise Cauchy Combination Test for Multiple Testing Problems with Financial Applications
published 2025 · Journal of Financial Econometrics
Quantile analysis for financial bubble detection and surveillance
published 2024 · Journal of Time Series Analysis · 2 citations
with Ruike Wu, Jilin Wu
On the spectral density of fractional Ornstein–Uhlenbeck processes
published 2024 · Journal of Econometrics · 6 citations
Realized drift
published 2024 · Journal of Econometrics · 6 citations · first circulated 2022
Fractional Gaussian Noise: Spectral Density and Estimation Methods
published 2024 · Journal of Time Series Analysis · 5 citations
Fractional stochastic volatility model
published 2024 · Journal of Time Series Analysis · 12 citations
Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer
published 2023 · Australian Economic Review · 5 citations
Research on the Impact Mechanism of Government Subsidies on Green Innovation of Enterprises
published 2023 · Advances in Economics and Management Research · 1 citations
working paper 2023 · arXiv
Volatility Puzzle: Long Memory or Antipersistency
published 2022 · Management Science · 24 citations
Common Bubble Detection in Large Dimensional Financial Systems
published 2021 · Journal of Financial Econometrics · 15 citations · first circulated 2019
Housing networks and driving forces
published 2021 · Journal of Banking & Finance · 23 citations
with Stan Hurn, Ben Zhe Wang, Md. Arafat Rahman
Gold as a financial instrument
published 2021 · Journal of commodity markets · 17 citations · first circulated 2020
with Pedro Gomis-Porqueras, David Tan
Diagnosing housing fever with an econometric thermometer
published 2021 · Journal of Economic Surveys · 39 citations · first circulated 2020
UNIT ROOT TEST WITH HIGH-FREQUENCY DATA
published 2021 · Econometric Theory · 13 citations · first circulated 2019
Australian Housing Market Booms: Fundamentals or Speculation?*
published 2020 · Economic Record · 20 citations · first circulated 2019
with Md. Arafat Rahman, Ben Zhe Wang
Volatility estimation and jump detection for drift–diffusion processes
published 2020 · Journal of Econometrics · 33 citations · first circulated 2018
Detecting Financial Collapse and Ballooning Sovereign Risk
published 2019 · Oxford Bulletin of Economics and Statistics · 63 citations · first circulated 2017
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money–Income Relationship*
published 2019 · Journal of Financial Econometrics · 286 citations · first circulated 2016
Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors
published 2019 · Econometrics · 8 citations
with Mardi Dungey, Stan Hurn, Vladimir Volkov
Change Detection and the Causal Impact of the Yield Curve
published 2018 · Journal of Time Series Analysis · 271 citations · first circulated 2016
Bubble detection and sector trading in real time
published 2018 · Quantitative Finance · 22 citations · first circulated 2016
with George Milunovich, David Tan
Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?
published 2017 · Pacific Economic Review · 55 citations
with Yongheng Deng, Éric Girardin, Roselyne Joyeux
Speculative bubbles or market fundamentals? An investigation of US regional housing markets
published 2017 · Economic Modelling · 16 citations · first circulated 2016
FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION
published 2017 · Econometric Theory · 163 citations
An empirical investigation of herding in the U.S. stock market
published 2017 · Economic Modelling · 69 citations
Dating the Timeline of House Price Bubbles in Australian Capital Cities
published 2016 · Economic Record · 79 citations
with Abbas Valadkhani, Russell Smyth, Farshid Vahid
Energy consumption and economic growth in the United States
published 2016 · Applied Economics · 91 citations · first circulated 2015
with Vipin Arora
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
published 2015 · International Economic Review · 1063 citations · first circulated 2013
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS
published 2015 · International Economic Review · 486 citations · first circulated 2013
Nonlinearities and tests of asset price bubbles
published 2015 · Empirical Economics · 4 citations · first circulated 2014
with Vipin Arora
Identifying Speculative Bubbles Using an Infinite Hidden Markov Model
published 2014 · Journal of Financial Econometrics · 36 citations
The divergence between core and headline inflation: Implications for consumers’ inflation expectations
published 2013 · Journal of Macroeconomics · 32 citations
with Vipin Arora, Pedro Gomis-Porqueras
Specification Sensitivity in Right‐Tailed Unit Root Testing for Explosive Behaviour
published 2013 · Oxford Bulletin of Economics and Statistics · 171 citations · first circulated 2012
Specification sensitivities in the Markov-switching unit root test for bubbles
published 2012 · Empirical Economics · 43 citations
An application of models of speculative behaviour to oil prices
published 2011 · Economics Letters · 52 citations
with Vipin Arora
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).