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Personal profile


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


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.

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

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

Projects 2015 2021

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

Market index
Trading strategies
Speculative bubbles

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
Recursive algorithm
Granger causality

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
Information flow
Financial fragility
European 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
Financial Crisis
Credit Risk

Change detection and the causal impact of the yield curve

Shi, S., Phillips, P. C. B. & Hurn, S., Nov 2018, In : Journal of Time Series Analysis. 39, 6, p. 966-987 22 p.

Research output: Contribution to journalArticleResearchpeer-review

Change Detection