Dr. Jiajing Sun is an Associate Professor and was appointed Deputy Director of the Department of Statistics and Data Sciences of the School in April 2022. Dr. Sun holds a PhD from the University of Liverpool, a MSc from the University of Edinburgh. Prior to joining the School of Economics and Management of the University of the Chinese Academy of Sciences, she worked for one year as an assistant professor in the Management School, University of Liverpool. Her research interests incorporate econometrics, and its application in finance and economics, and a diverse range of issues connected to the society and governance of China. She holds the Chartered Financial Analyst (CFA) credential and possesses a strong understanding of advanced investment analysis and real-world portfolio management skills. 



Research Areas

Econometrics/statistics, economics and finance. 

Education

October 2007 - July 2011, Management School, University of Liverpool, PhD Management Studies (Econometrics). 

September 2004 - November 2005, College of Humanities and Social Science, University of Edinburgh, MSc in Economics.   

September 2001 - July 2004, Tianjin University of Finance and Economics, Bachelor's Economics (I finished four years undergraduate programme within three years).

Experience


Work Experience

April 2022 –, Deputy Director of Department of Statistics and Data Sciences at School of Economics and Management, University of Chinese Academy of Sciences

November 2018 –, Associate Professor at School of Economics and Management, University of Chinese Academy of Sciences

February 2016 – January 2017, Visiting Fellow at Department of Economics and Related Studies, University of York

March 2013 – November 2018, Assistant Professor at School of Economics and Management, University of Chinese Academy of Sciences

March 2013 – December 2014, Deputy director of the international relationships/PR Office at School of Economics and Management, University of Chinese Academy of Sciences

September 2011 – December 2012, Assistant professor (lecturer) at Management School, University of Liverpool

March 2006 – September 2007, Assistant Professor at School of Economics and Management, Tianjin University of Science and Technology


Teaching Experience

Financial econometrics (Postgraduate)

Nonparametric Statistics (Postgraduate) 

Financial modelling and data analysis (Postgraduate) 

Financial economics (Postgraduate)

Financial statistics and econometrics (Postgraduate)

English for finance (MBA module)

Corporate finance (MBA module)


Publications


Papers

Selected Journal Articles (in English):

 

·        Sun, J., Hong, Y., Linton, O., & Zhao, X., (2022). Adjusted-range self-normalized confidence interval construction for censored dependent data. Economics Letters, p.110873. https://www.sciencedirect.com/science/article/abs/pii/S0165176522003470

·        Hong, Y., Linton, O., McCabe, B., & Sun, J. (2022). A score statistic for testing the presence of a stochastic trend in conditional variances. Economics Letters, 213, 110394. https://www.sciencedirect.com/science/article/abs/pii/S0165176522000660

·        Jiang, W., Cole, M., Sun, J., & Wang, S. (2022). Innovation, carbon emissions and the pollution haven hypothesis: Climate capitalism and global re-interpretations. Journal of Environmental Management, 307, 114465. Available at https://www.sciencedirect.com/science/article/pii/S030147972200038X

·        Sun, J., Cole, M., Huang, Z., & Wang, S. (2018). Chinese leadership: Provincial perspectives on promotion and performance. Environment and Planning C: Politics and Space, DOI: 10.1177/2399654418791580. Available at https://journals.sagepub.com/doi/abs/10.1177/2399654418791580

·        Cui, W., Cheng, H., & Sun, J. (2018). An RKHS-based approach to double-penalized regression in high-dimensional partially linear models. Journal of Multivariate Analysis, 168, 201-210. Available at https://www.sciencedirect.com/science/article/pii/S0047259X17301513

·        Sun, J., & McCabe, B. P. (2013). Score statistics for testing serial dependence in count data. Journal of Time Series Analysis, 34(3), 315-329. Available at https://onlinelibrary.wiley.com/doi/abs/10.1111/jtsa.12014

·        Li, Z., Sun, J., & Wang, S. (2013). An information diffusion-based model of oil futures price. Energy Economics, 36, 518-525. https://www.sciencedirect.com/science/article/pii/S0140988312002587

·        Sun, J., Chernick, M. R., & LaBudde, R. A. (2011). A bootstrap test for comparing two variances: simulation of size and power in small samples. Journal of Biopharmaceutical Statistics, 21(6), 1079-1093. Available at https://www.tandfonline.com/doi/abs/10.1080/10543406.2011.611082

 

Journal Articles (in Chinese):

 

·        Hong, Y., Sun, J., McCabe, B., & Wang, S. (2022). An Adjusted-range Based on Self-normalized Statistic for Testing Structural Breaks. Statistical Research, 39(4) 122-133. 10.19343/j.cnki.11–1302/c.2022.04.009 In Chinese

·        Sun, J., McCabe, B, Cui, W, Li, G. (2020) Integer valued autoregressive process with Katz Arrivals and its application in predicting the count of the cases of respiratory disease. Chinese Journal of Applied Probability of Statistics. 36(6): 551-568, http://lib.cqvip.com/Qikan/Article/Detail?id=7103807087. In Chinese.



Book Chapters

·        Li, Z., Sun, J., & Cole, M. (2015). Mechanisms and Performance of Chinese Bear Markets and Policy Suggestions. In: Li, Z., & Cheng, S. (eds.) The Chinese Stock Market Volume II (pp. 125-189). Palgrave Macmillan, London, UK. Available at https://link.springer.com/chapter/10.1057/9781137464699_3

·        Li, Z., & Sun, J. (2015). Mechanisms and Performance of Chinese Bear Markets and Policy Suggestions. In: Li, Z., & Cheng, S. (eds.) China's Stock Market Review and Outlook: 2002-2013; Science Press, Beijing, China.  


Research Interests

·        Econometrics, Statistics, Economics and Finance. 


Conferences

·        Confidence interval construction - a new self-normalization approach based on adjusted-range, CFE-CMStatistics, 18-20 December 2021, London, UK. (online)

·        Confidence interval construction - a new self-normalization approach based on adjusted-range, 23-24 October 2021, Tsinghua University Statistics and Data Science Young Scholar Forum, Beijing, China. 

·        Testing for structural breaks - a new self-normalization approach based on the adjusted sample range, 7-9 July 2021, Australian Meeting of the Econometric Society, University of Melbourne, Melbourne, Australia. (online)

·        A score statistic on testing the presence of stochastic trends in conditional variance, Thirteenth Annual SoFiE Conference (North America), 15-17 June 2021, the Rady School of Management at the University of California, San Diego, USA. (online)

·        Testing for structural breaks - a new self-normalization approach based on the adjusted sample range, 2021 North American Summer Meeting of the Econometric Society, 13-19 June 2021, Université du Québec à Montréal, Montreal, Canada. (online)

·        Testing structural breaks - a new Self-normalization approach based on the adjusted sample range, 13th International Conference of the ERCIM WG on Computational and Methodological Statistics - 14th International Conference on Computational and Financial Econometrics, 19-21 December 2021, London, UK. (online)

·        Testing structural breaks - a new self-normalization approach based on the adjusted sample range, The 4th China Econometricians Forum, 19-20 December 2020, Shanghai Academy of Social Sciences, Shanghai, China.

·        Model averaging of integer-valued autoregressive model with covariates, 12th Econometric Society World Congress 2020, 17-21 2020, Milan, Italy. (online) 

·        Model averaging of integer-valued autoregressive model with covariates, 2019 Asian Meeting of the Econometric Society, 14-16 June 2019, Xiamen University, China.

·        The subjective well-being of internal migrants: lessons from China, CES (China Economic Society), 8-9 June 2019, China annual conference, Dongbei University of Finance and Economics (DUFE), Dalian, China.

·        RKHS-based approach to SCAD-penalized regression in high-dimensional partially linear models   9th of ERCIM WG on Computational and Methodological Statistics; 10th International Conference on Computational and Financial Econometrics 9th December 2016.   

·        Commodity shocks and the macroeconomy    IEEE Symposium on Analytics and Risk   14th August 2015.    


Student supervision

Students (supervised): 

Cao Songfei 125100 - Business Administration

Li Jiamin 120100 - Management Science and Engineering

Cao Zhong 125100 - Business Administration

Liu Xin 025100 - Finance

Wang Weiguang 025100 - Finance

Shi Can 125100 - Business Administration


Students (current): 

Wu Junda 020204 - Finance

Xu Yang 020209 - Quantitative Economics

Zijing Zhang 020209 - Quantitative Economics

Yu Gaoqi 125100 - Business Administration

Wang Lei 125100 - Business Administration

Honors & Distinctions

·        The "Financial Statistics and Econometrics" taught by Dr. Jiajing Sun won the 2017-18 Young Teacher Teaching Special Award of the School, and the 2019 Excellent Postgraduate Course Award.