Air carrier flight crew reported during final approach had to go-around due to wind shear which caused them to be unstable on the approach.

Narrative

We were originally assigned to land on 34R however due to emergency aircraft they ended up taking priority on 34R and ATC then assigned us 35R. I then built and briefed the change as I was PM. CA was pilot flying and the FO was pilot monitoring. Wind shear advisories were in effect. We already briefed the threat of wind shear and performing the escape maneuver earlier in the flight. Our stall protect ice speed vref was 138 and flew a vap of 150 kts due to the shifting winds. Approximately on a 1 mile final we got a wind shear caution indicating increased performance causing us to be unstable; so we elected to go-around. Used standard callouts for flaps and gear retraction on the initial phase of the go-around. Promptly after the gear was raised we received a wind shear warning. CA followed guidance and while performing the escape maneuver the stick shaker activated momentarily. I the PM let tower know we were responding to a windshear warning once we started climbing again and shortly thereafter announced 'wind shear warning gone'. After the aircraft was in a normal configuration we were vectored for another approach to 35R and landed uneventfully. Cause: Weather is the ultimate cause. Secondary cause is that we could have requested delay vectors or held so make time and let the weather play out longer. Suggestions: If you have the fuel and things don't look right; discontinue the approach early rather than later and request a hold or a different runway. The weather on 34R looked to be better.