Jiajing Sun

Jiajing Sun

PhD, CFA charterholder, FIMA, Member of the London Mathematical Society. Associate Professor and the Deputy Director of the Department of Statistics and Data Science, School of Economics and Management, University of the Chinese Academy of Sciences.

Econometrics and Time Series Methods: Theory, Applications, and R Implementation

Published in Springer, 2026

“Econometrics and Time Series Methods: Theory, Applications, and R Implementation” covers a wide range of topics including regression models, univariate and multivariate time series, volatility modeling, nonparametric and semiparametric methods, HAR inference, autoregressive filtering and state space models, nonstationary processes, continuous-time finance, and machine learning. The book emphasizes hands-on implementation in R, with extensive examples based on real financial and macroeconomic data, aiming to integrate theory, methods, empirical applications, and computation in a unified way.

The authors are Yongmiao Hong, Oliver Linton, and Jiajing Sun, listed alphabetically by surname.

Official Companion Website

The official companion website is available at:

econometricsandtimeseries.com

It brings together chapter guides, ten lecture-slide decks, and 68 reproducible R examples for teaching and self-study. The accompanying GitHub repository provides further open-source R resources.

Full book materials are not hosted on this website due to copyright restrictions.

Recommended citation: Hong, Y., Linton, O., & Sun, J. (2026 forthcoming). "Econometrics and Time Series Methods: Theory, Applications, and R Implementation." Springer.