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Personal profile

Biography

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

Biography

Shuping Shi is a 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).

Shi 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 Journal of Econometrics, International Economic Review, Econometric Theory, Journal of Financial Econometrics, and Journal of Time Series Analysis. She is also one of the developers of the PSY technique, a real-time bubble monitoring technique used by many institutions (e.g., the Federal Reserve Bank of Dallas, Clinton Group, Hong Kong Monetary Authority, De Nederlandsche Bank, Central Bank of Colombia). The total number of citations of her journal articles since 2014 is over 1,000 (Google scholar as at June 2019).

Shi has attracted a number of significant external fundings (over $1 million) over the past 5 years, including the Australian Research Council Discovery Early Career Researcher Award (2019-2021) and two Australian Research Council Discovery Project Awards (2015-2018 and 2019-2021).

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 2020

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

Shi, S., Hurn, S. & Phillips, P. C. B., 2020, In : Journal of Financial Econometrics. 18, 1, p. 158–180 23 p.

Research output: Contribution to journalArticleResearchpeer-review

Integrated system
Change detection
Income
Recursive algorithm
Granger causality

Real time monitoring of asset markets: Bubbles and crises

Phillips, P. C. B. & Shi, S., 2020, Financial, macro and micro econometrics using R. Vinod, H. D. & Rao, C. R. (eds.). Amsterdam, Netherlands: Elsevier, p. 61-80 20 p. (Handbook of Statistics; vol. 42).

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

Real-time Monitoring
Bubble
Heteroskedasticity
Financial Crisis
Credit Risk

Volatility estimation and jump detection for drift–diffusion processes

Laurent, S. & Shi, S., 1 Feb 2020, In : Journal of Econometrics.

Research output: Contribution to journalArticleResearchpeer-review

Jump
Volatility estimation
Diffusion process
Estimator
Finite sample bias

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

Open Access
File
Bubble
Market index
Trading strategies
Speculative bubbles
Industry

Detecting financial collapse and ballooning sovereign risk

Phillips, P. C. B. & Shi, S., Dec 2019, In : Oxford Bulletin of Economics and Statistics. 81, 6, p. 1336-1361 26 p.

Research output: Contribution to journalArticleResearchpeer-review

market
Monotonic
government bonds
key event
Swap