Jiajing Sun

Jiajing Sun

PhD, CFA, 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.

Financial Econometrics

Postgraduate course, University of Chinese Academy of Sciences, School of Economics and Management, 2020

In this course, I taught financial econometrics with a focus on asset pricing models and volatility forecasting. Students were introduced to advanced econometric tools such as GARCH models, copulas, and machine learning methods. The course covers key topics like time series modeling, ARCH/GARCH models, nonparametric methods, asset pricing, volatility modeling, and risk management. As the lead instructor, I guided students through real-world applications using R programming.

The course integrates theory, methodology, empirical applications, and computation. It emphasizes economic interpretation, statistical testing, and robustness analysis to ensure practical applicability in financial econometrics.

Hours: 40 hours

Course slides: Financial Econometrics Slides