There's an easy way, but it's not completely intuitive. Read about the app's Export and Import commands, that will spell it out for you.
One caveat - if you're mixing calendar sources, like exporting a Google calendar and importing it to an iCloud calendar as an example, there will be issues as different calendar providers have different data maps - I'm not going to get into that here (and don't let anyone else tell you differently).
Select the source calendar, and use the File>Export>Export... Command to create a single-calendar .ics file.
Create your new calendar by File>New Calendar>(pick your account) and name the new calendar.
Use the File>Import... Command to locate and open your exported .ics file. Your imported file will propagate the events from your source calendar - you'll see "duplicates" which are really overlays of your new calendar events alongside your source events.
The counter-intuitive step is to delete your source calendar (your "shared" calendar) or to manually delete each item individually. Deleting your source calendar will clear out all of the events you want to remove, and I don't know of an easier means to do this. If you want that "shared" calendar back, then create a new calendar with the same name and set up as you wish.