20122021
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Personal profile

Biography

Personal webpage: https://sites.google.com/site/shupingshi/home/

Biography

Shi is an Associate Professor at Macquarie University. She joined Macquarie University as a Senior Lecturer in 2014 and her previous position was with the Australian National University as a Lecturer (2011 – 2014). She is an econometrician with a theoretically grounded and policy-relevant research agenda in the field of Financial Econometrics and Applied Economics. She has published in top-tier academic journals, including the International Economic Review, Econometric Theory, Journal of Financial Econometrics, and Oxford Bulletin of Economics and Statistics. Since 2015, she has been working on an ARC Discovery Project Grant, titled Change Detection in Causal Relationships and Measurement of Systemic Risk.

Fingerprint Dive into the research topics where Shuping Shi is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

Bubble Mathematics
Unit Root Tests Mathematics
stock market Social Sciences
Real-time Monitoring Mathematics
Specification Mathematics
market Social Sciences
Markov Switching Mathematics
assets Social Sciences

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Projects 2015 2021

Measuring Uncertainty in Global Housing Markets and its Risk to Australia

Joyeux, R., Milunovich, G., Shi, S., Wang, Z., Deng, Y., Wu, J. & Girardin, E.

30/04/1931/12/21

Project: Research

Change Detection in Causal Relationships and Measurement of Systemic Risk

Shi, S., Hurn, A., Dungey, M. & Phillips, P.

9/06/15 → …

Project: Research

Thomson Reuters Global Ownership Database

Trueck, S., Yu, F., Adrian, C., Carlton, A., Chand, P., Chen, X., Cummings, J., Evans, E., De Mello, L., He, L., Hellmann, A., Jameson, K., Kalotay, E., Loudon, G., Lu, M., Mala, R., Magee, S., Milunovich, G., Pan, P., Patel, C., Sheedy, E., Shi, S., Siu, T. K. & Wright, S.

7/12/1531/12/15

Project: Research

Research Outputs 2012 2019

Bubble detection and sector trading in real time

Milunovich, G., Shi, S. & Tan, D., 1 Feb 2019, In : Quantitative Finance. 19, 2, p. 247-263 17 p.

Research output: Contribution to journalArticleResearchpeer-review

Bubble
Market index
Trading strategies
Speculative bubbles
Industry

Causal change detection in possibly integrated systems: revisiting the money–income relationship

Shi, S., Hurn, S. & Phillips, P. C. B., 6 Mar 2019, In : Journal of Financial Econometrics. nbz004.

Research output: Contribution to journalArticleResearchpeer-review

Integrated system
Change detection
Income
Recursive algorithm
Granger causality

Detecting financial collapse and ballooning sovereign risk

Phillips, P. C. B. & Shi, S., 12 Jun 2019, In : Oxford Bulletin of Economics and Statistics.

Research output: Contribution to journalArticleResearchpeer-review

market
Monotonic
government bonds
key event
Swap

Information flow in times of crisis: The case of the European banking and sovereign sectors

Dungey, M., Hurn, S., Shi, S. & Volkov, V., 1 Mar 2019, In : Econometrics. 7, 1, 20 p., 5.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File
Information flow
Financial fragility
European banking
Banking
Empirical evidence

Real time monitoring of asset markets: Bubbles and crises

Phillips, P. C. B. & Shi, S., 10 Feb 2019, Handbook of Statistics. Elsevier, (Handbook of Statistics).

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

Real-time Monitoring
Bubble
Heteroskedasticity
Financial Crisis
Credit Risk