Research

High-frequency Financial Econometrics

1. On the Spectral Density of Fractional Ornstein-Uhlenbeck Process (with Jun Yu and Chen Zhang),  Journal of Econometrics, 2024, 245 (1-2): 105872 Matlab code.

2. Fractional Stochastic Volatility Model (with Jun Yu and Xiaobin Liu), Journal of Time Series Analysis, 2025, 46: 378–397.

3. Volatility Puzzle: Long Memory or Antipersistency, Management Science (with Jun Yu), 2023, 69(7): 3861-3883. Data and Matlab

4. Unit Root Testing with High-Frequency Data, Econometric Theory (with Sebastien Laurent), 38(1): 113-171.

5. Volatility Estimation and Jump Detection for Drift-diffusion Processes, Journal of Econometrics, 2020, 217(2): 259-290 (with Sebastien Laurent)

Financial Bubbles and Crises Identification

6. Detecting Common Bubbles in a Large-Dimensional Financial System, Journal of Financial Econometrics, (with Ye Chen and Peter C.B. Phillips, Online Supplement), 2023, 21(4): 989–1063.

7. Diagnosing Housing Fever with an Econometric Thermometer, Journal of Economic Surveys (with Peter C.B. Phillip), 2021, DOI: 10.1111/joes.1243.

8. Detecting Financial Collapse and Ballooning Sovereign Risk, Oxford Bulletin of Economics and Statistics), 2019, 81(6): 1336-1361 (with Peter C.B. Phillips)

9. Financial Bubble Implosion and Reverse Regression, Econometric Theory, 2018, 34 (4), 705-753 (with Peter C.B. Phillips) Technical Supplement

10. Identifying Speculative Bubbles with an Infinite Hidden Markov Model, Journal of Financial Econometrics, 2016, 14(1): 159-184 (with Yong Song).

11. Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500, International Economic Review, 2015, 56 (4 ): 1043-1078 (with Peter C.B. Phillips and Jun Yu).

12. Testing for Multiple Bubbles: Limit Theory of Real Time Detectors, International Economic Review, 2015, 56 (4): 1079-1134 (with Peter C.B. Phillips and Jun Yu) 

Supplement to Two Papers on Multiple Bubbles (with Peter C.B. Phillips and Jun Yu)

13. Specification Sensitivities in Right-Tailed Unit Root Testing for Explosive Behavior, Oxford Bulletin of Economics and Statistics, 2014, 76(3): 315–333 (with Peter C.B. Phillips and Jun Yu, Online supplement)

Time-varying Granger Causality Tests

14. Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship, Journal of Financial Econometrics, 2020, 18(1), (with Peter C.B. Phillips and Stan Hurn) Online Supplement.

15. Change Detection and the Causal Impact of the Yield Curve, Journal of Time Series Analysis, 2018, 39(6): 966-987 (with Peter C.B. Phillips and Stan Hurn) Online Supplement

1. Housing Fever in Australia 2022-23: Insights from an Econometric Themometer, Australian Economic Review (policy forum), 2023 (with Peter C.B. Phillips) 

2. Housing Networks and Driving Forces, Journal of Banking and Finance, 2022, Vol. 134, Article No. 106318 (with Stan Hurn and Ben Wang)

3. Gold as a Financial Instrument, Journal of Commodity Markets (with Pedro Gomis-Porqueras and David Tan, this version 2021 Aug), forthcoming.

4. Australian Housing Market Booms: Fundamentals or Speculation? , Economic Record, 2020, 96: 381-401 (with Arafat Rahman and Ben Wang)

5. Bubble Detection and Sector Trading in Real Time, Quantitative Finance, 2019, 19(2): 247-263 (with George Milunovich and David Tan)

6.  Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors, Econometrics (Special Issue Celebrated Econometricians: Peter Phillips), 2019, 7(1), 5; doi:10.3390/econometrics7010005 (with Mardi Dungey, Stan Hurn, and Vladimir Volkov) 

7. An Empirical Investigation of Herding in the U.S. Stock Market, Economic Modelling, 2017, 67, 184-192 (with Stan Hurn and Adam Clements)

8. Speculative Bubbles or Market Fundamentals? An Investigation of US Regional Housing Markets, Economic Modelling, 2017, 66, 101-111.

9. Did Bubbles Migrate from the Stock Market to the Housing Market in China between 2005 and 2010? (with Yongheng Deng, Eric Girardin, Roselyne Joyeux), Pacific Economic Review, 2017, 22 (3), 276-292.

10. Energy Consumption and Economic Growth in the United States, Applied Economics, 2016, 48: 3763-3773 (with Vipin Arora)

11. Dating the Timeline of House Price Bubbles in Australian Capital Cities, Economic Record, 2016, 92, 590–605 (with Abbas Valadkhani, Russel Smyth, and Farshid Vahid)

12. Nonlinearities and Tests of Asset Price Bubbles, Empirical Economics, 2016, 50 (4): 1421-1433 (with Vipin Arora)

13. The Divergence between Core and Headline Inflation: Implications for Consumers' Inflation Expectations, Journal of Macroeconomics, 2013, 38: 497-504 (with Vipin Arora and Pedro Gomis-Porqueras)

14. Specification Sensitivities in the Markov-Switching Unit Root Test for Bubbles, Empirical Economics, 2013, 45(2): 697-713

15. An application of models of speculative behaviour to oil prices, Economics Letters, 2012, 115 : 469-472 (with Vipin Arora)

1. Econometric Analysis of Asset Price Bubbles (with Peter C.B. Phillip), In Shuping Shi, Xiaohu Wang, and Tao Zeng (Eds.), Financial Econometrics - Theory and Applications, Cambridge University Press, forthcoming.

2. Real Time Monitoring of Asset Markets: Bubbles and Crises, (with Peter C.B. Phillips), In Hrishikesh D. Vinod and C.R. Rao (Eds.), Handbook of Statistics, Volume 42 - Econometrics Using R, 2020. Published Version

3. R package psymonitor: Real Time Monitoring of Asset Markets: Bubbles and Crisis by Peter C.B. Phillips, Shuping Shi, and Itamar Caspi

• Real-Time Monitoring of Crisis: The European Sovereign Sector

• Real-Time Monitoring of Bubbles: The S&P 500

4. Girardin, E., Joyeux, R., and Shi, S. Stock market bubble migration: From Shanghai to Hong Kong, Jawadi, F. (ed) Uncertainty, Expectations and Asset Price Dynamics: Essays in the Honor of Georges Prat, Springer (in press, accepted December 2017).