Shuping Shi, Business and Economics, Macquarie University
- Title: Doctor
- Position: Senior Lecturer - Department of Economics
- Qualifications: Ph.D. (ANU)
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.).
- 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)