Shuping Shi, Business and Economics, Macquarie University

Shuping Shi, Business and Economics, Macquarie University


Contact Staff

  • Title: Doctor
  • Position: Senior Lecturer - Department of Economics
  • Qualifications: Ph.D. (ANU)

Contact Details

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Areas of Expertise

Time Series Analysis, Financial Econometrics, Bubbles and Crises


Refereed Journal Articles

  • Identifying Speculative Bubbles with an Infinite Hidden Markov Model, Journal of Financial Econometrics, forthcoming (with Song, Y).
  • Testing for Multiple Bubbles: Limit Theory of Real Time Detectors, International Economic Review, forthcoming  (with Phillips, P. and J. Yu)
  • Specification sensitivity in right-tailed unit root testing for explosive behaviour, Oxford Bulletin of Economics and Statistics, forthcoming (with Phillips, P. and J. Yu).
  • The divergence between core and headline inflation: Implications for consumers' inflation expectations", Journal of Macroeconomics, 2013, 38: 497-504 (with Arora, V. and Gomis-Porqueras, P.).
  • Specification Sensitivities in the Markov-Switching Unit Root Test for Bubbles, Empirical Economics, 2013, 45(2): 697-713.
  • An application of models of speculative behaviour to oil prices, Economics Letters, 2012, 115: 469-472 (with Arora, V.).

Working papers

  • Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 (with Peter C.B. Phillips and Jun Yu)
  • A New Test for Asset Price Bubbles with an Application to the Oil Price, (with Vipin Arora)
  • The Implosion of Economic and Financial Bubbles (with Peter C.B. Phillips)
  • A Note on Linear Approximation in Tests of Asset Price Bubbles (with Vipin Arora)

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