Dr Jiajing Sun MSc PhD FIMA CFA

Dr Jiajing Sun

School of Mathematics
Associate Professor in Econometrics and Statistics

Contact details

Email
j.sun.5@bham.ac.uk
View my research portal
Address
School of Mathematics
Watson Building
University of Birmingham
Edgbaston
Birmingham
B15 2TT
UK

Dr Jiajing Sun is a Chartered Financial Analyst (CFA) and a Fellow of the Institute of Mathematics and its Applications (FIMA). She earned her PhD from the University of Liverpool and an MSc from the University of Edinburgh. Over the years, Dr Sun has held academic positions in various British and Chinese universities.

She has successfully secured two grants from the National Natural Sciences Foundation of China and possesses expertise in securing external funding. Her primary research areas include statistics and econometrics, with a particular focus on the development of the adjusted-range based self-normalisation approach. Additionally, she is deeply interested in applying statistical and econometric techniques to finance and economics.

This empirical focus highlights her significant contributions to broader research areas, particularly in understanding the complexities of economic, societal, and governance structures. Her insights make her work invaluable to a diverse audience, ranging from academics to policymakers. Dr Sun's research findings have been featured in reputable journals, and she maintains a strong record of emerging publications.

Qualifications

  • PhD in Management Studies (Econometrics), University of Liverpool, 2011.
  • MSc in Economics, University of Edinburgh, 2005.

Biography

Dr Jiajing Sun received her PhD from the University of Liverpool and her MSc from the University of Edinburgh. Before joining the School of Mathematics at the University of Birmingham, she was an Associate Professor and Deputy Director of the Department of Statistics and Data Sciences at the School of Economics and Management, University of Chinese Academy of Sciences. She has also held positions at the University of Liverpool and Tianjin University of Science and Technology and has been invited as a guest lecturer at China University of Political Science and Law.

Teaching

Semester 1

LH Statistical Methods in Economics (Jinan)

Semester 2

LC Data, Probability and Statistics (Jinan)

Postgraduate supervision

Dr Sun has experience supervising MPhil, MSc, and MBA students at the University of Chinese Academy of Sciences in diverse fields, such as financial econometrics and innovation management. Additionally, she has supervised students at other universities in both China and the UK.

Research

Research Themes

  • Adjusted-range based self-normalization.  
  • Financial econometrics.  

Research Activity

Dr Sun's research focuses on developing the adjusted-range based self-normalization method in time series analysis, in collaboration with Professors Yongmiao Hong and Oliver Linton. This approach has been successfully applied to constructing confidence intervals and testing structural breaks, and she is currently exploring its potential for analysing complex data of infinite dimensions. In addition to time series analysis, Dr Sun conducts research in financial econometrics, with a particular interest in detecting unit-root behavior in volatility series.

Dr Sun's research interests extend beyond time series and financial econometrics. She also has a broad interest in empirical research in finance and economics, including topics related to the economy, society, and governance of China. She is especially interested in exploring the efficiency of joint collaborations between Chinese and Western universities.

Publications

Recent publications

Article

Hong, Y, Linton, O, McCabe, B, Sun, J & Wang, S 2024, 'Kolmogorov-Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach', Journal of Econometrics, vol. 238, no. 2, 105603. https://doi.org/10.1016/j.jeconom.2023.105603

Hong, Y, Linton, O, Sun, J & Zhu, M 2023, 'Yongmiao Hong, Oliver Linton, Jiajing Sun, and Meiting Zhu’s contribution to the Discussion of “the Discussion Meeting on Probabilistic and statistical aspects of machine learning”', Royal Statistical Society. Journal. Series B: Statistical Methodology . https://doi.org/10.1093/jrsssb/qkad152

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, vol. 213, 110394. https://doi.org/10.1016/j.econlet.2022.110394

Sun, J, Hong, Y, Linton, O & Zhao, X 2022, 'Adjusted-range self-normalized confidence interval construction for censored dependent data', Economics Letters, vol. 220, 110873. https://doi.org/10.1016/j.econlet.2022.110873

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, vol. 307, 114465. https://doi.org/10.1016/j.jenvman.2022.114465

Shao, C, Guan, X, Sun, J, Cole, M & Liu, G 2022, 'Social media interactions between government and the public: A Chinese case study of government WeChat official accounts on information related to COVID-19', Frontiers in Psychology, vol. 13, 955376. https://doi.org/10.3389/fpsyg.2022.955376

Sun, J, Cole, M, Huang, Z & Wang, S 2019, 'Chinese leadership: Provincial perspectives on promotion and performance', Environment and Planning C: Politics and Space. https://doi.org/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. https://doi.org/10.1016/j.jmva.2018.07.013

Li, Z, Sun, J & Wang, S 2013, 'An information diffusion-based model of oil futures price', Energy Economics. https://doi.org/10.1016/j.eneco.2012.10.009

Sun, J & McCabe, BP 2013, 'Score statistics for testing serial dependence in count data: SCORE STATISTICS FOR TESTING THE SERIAL DEPENDENCE', Journal of Time Series Analysis. https://doi.org/10.1111/jtsa.12014

Sun, J, Chernick, MR & LaBudde, RA 2011, 'A Bootstrap Test for Comparing Two Variances: Simulation of Size and Power in Small Samples', Journal of Biopharmaceutical Statistics. https://doi.org/10.1080/10543406.2011.611082

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