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.

Advanced Time Series Analysis

Postgraduate course, University of Chinese Academy of Sciences, School of Economics and Management, 2026

This course focuses on advanced time series analysis techniques, including cointegration, VAR models, and state-space models. The course also covers regression models, univariate and multivariate time series, volatility modeling, nonparametric and semiparametric methods, HAR inference, autoregressive filtering, and continuous-time finance, with an emphasis on real-world financial and macroeconomic data. As the lead instructor, I provided students with the skills to model complex financial and economic time series data.

The course aims to integrate theory, methodology, empirical applications, and computation, with a focus on practical modelling of complex financial and economic time series.

Course Slides

Only lecture slides are provided here.