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.

Publications

You can also find my articles on my Google Scholar profile.

Journal Articles

Using Machine Learning for Prediction and Policy Analysis in Economics

Published in The Review of Mathematical Economics, 2026

This review examines when machine learning improves economic prediction, measurement, causal inference, policy learning, structural analysis, finance, and operational decision-making.

Recommended citation: Sun, J., Cole, M., & Härdle, W. K. (2026). "Using Machine Learning for Prediction and Policy Analysis in Economics." The Review of Mathematical Economics, accepted for publication.

Supply Chain Shocks and the Reconfiguration of Green Finance Markets: A Quantile-on-Quantile Connectedness Analysis

Published in Systems, 2026

This article studies nonlinear and time-varying connectedness between supply-chain bottlenecks and green finance markets, including clean energy equities, green bonds, and carbon prices.

Recommended citation: Yao, J., Wu, J., Feng, H., & Sun, J. (2026). "Supply Chain Shocks and the Reconfiguration of Green Finance Markets: A Quantile-on-Quantile Connectedness Analysis." Systems, 14(6), 652.
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Virtual Water in Global Supply Chains: Trade Structure, Industrial Composition, and Policy Levers

Published in Ecological Economics, 2026

This paper uses Eora MRIO data for 189 countries (2010-2021) to map green, blue, and grey embodied-water flows and examine how virtual-water positions relate to industrial structure, trade openness, water withdrawal capacity, and growth outcomes.

Recommended citation: Jiang, W., Sun, J., Cole, M., & Zhang, Y. (2026). "Virtual water in global supply chains: Trade structure, industrial composition, and policy levers." Ecological Economics, 248, 109068.
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Risk Propagation and System Resilience in Sustainable-Digital Finance: A Time-Frequency Higher-Order Moment Analysis of Green Finance, Green Cryptocurrency, and Non-Green Cryptocurrency Markets

Published in Systems, 2026

This article examines risk connectedness and resilience across green finance, green cryptocurrency, and non-green cryptocurrency markets using a time-frequency higher-order moment framework.

Recommended citation: Wu, J., Yao, J., & Sun, J. (2026). "Risk Propagation and System Resilience in Sustainable-Digital Finance: A Time-Frequency Higher-Order Moment Analysis of Green Finance, Green Cryptocurrency, and Non-Green Cryptocurrency Markets." Systems, 14(6), 628.
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Stablecoins, Risk Transmission and Systemic Reconfiguration in a Fragmented USD Access System: Evidence from Quantile Time-Frequency Analysis

Published in Systems, 2026

This article studies Argentina as a fragmented USD access system and uses quantile time-frequency connectedness analysis to examine risk transmission among official, parallel, and stablecoin-based dollar channels.

Recommended citation: Wu, J., Sun, J., Feng, H., & Long, F. (2026). "Stablecoins, Risk Transmission and Systemic Reconfiguration in a Fragmented USD Access System: Evidence from Quantile Time-Frequency Analysis." Systems, 14(5), 562.
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Adjusted-range-based self-normalized autocorrelation tests

Published in Economics Letters, 2025

This paper develops an adjusted-range-based self-normalized method for autocorrelation tests in time series analysis. The approach enhances statistical power while maintaining robustness against model misspecification.

Recommended citation: Sun, J., Zhu, M., & Linton, O. (2025). "Adjusted-range-based self-normalized autocorrelation tests." Economics Letters, 251, 112315.
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Structural stability of functional data: A new adjusted-range-based self-normalization approach

Published in Economics Letters, 2025

We propose an adjusted-range-based self-normalization method for testing structural stability in functional data. This approach improves computational efficiency and performs well in empirical applications to temperature data from New York Central Park Weather Station.

Recommended citation: Sun, J., Hong, Y., Lin, Z., & Xu, W. (2025). "Structural stability of functional data: A new adjusted-range-based self-normalization approach." Economics Letters, 253, 112350.
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Kolmogorov-Smirnov type testing for structural breaks: A new adjusted-range-based self-normalization approach

Published in Journal of Econometrics, 2024

This paper introduces a novel method for structural break testing using the Kolmogorov-Smirnov type test, enhanced by an adjusted-range-based self-normalization approach.

Recommended citation: 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, 238(2), 105603.
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Governmental Capabilities and Responsiveness: Global Investigations into CO2 Emissions and Decarbonization

Published in International Journal of Public Administration, 2024

This paper investigates the relationship between governmental capabilities and CO2 emissions in the context of global decarbonization efforts.

Recommended citation: Cole, M., Sun, J., Jiang, W., & Zang, L. (2024). "Governmental Capabilities and Responsiveness: Global Investigations into CO2 Emissions and Decarbonization." International Journal of Public Administration, 1-19.
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Social media interactions between government and the public: A Chinese case study of government WeChat official accounts on information related to COVID-19

Published in Frontiers in Psychology, 2022

This paper analyzes social media interactions between the Chinese government and the public using WeChat official accounts during the COVID-19 pandemic.

Recommended citation: 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, 13, 955376.
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Innovation, carbon emissions, and the pollution haven hypothesis: Climate capitalism and global reinterpretations

Published in Journal of Environmental Management, 2022

This paper examines the relationship between innovation, carbon emissions, and the pollution haven hypothesis in the context of climate capitalism.

Recommended citation: Jiang, W., Cole, M., Sun, J., & Wang, S. (2022). "Innovation, carbon emissions, and the pollution haven hypothesis: Climate capitalism and global reinterpretations." Journal of Environmental Management, 307, 114465.
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A score statistic for testing the presence of a stochastic trend in conditional variances

Published in Economics Letters, 2022

This paper develops a score statistic for testing the presence of a stochastic trend in the context of conditional variances in time series data.

Recommended citation: 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.
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Adjusted-range self-normalized confidence interval construction for censored dependent data

Published in Economics Letters, 2022

This paper proposes a self-normalized method for constructing confidence intervals for censored dependent data, improving the robustness and accuracy of inference.

Recommended citation: Sun, J., Hong, Y., Linton, O., & Zhao, X. (2022). "Adjusted-range self-normalized confidence interval construction for censored dependent data." Economics Letters, 110873.
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基于调整样本值域的自正则结构性变化的检验

Published in 统计研究, 2022

本论文提出了一种基于调整样本值域的自正则方法，用于检验时间序列中的结构性变化。该方法在强依赖性和重尾分布下表现良好，能够提升结构性变化检验的准确性。

Recommended citation: 孙佳婧（通讯作者）等 (2022). "基于调整样本值域的自正则结构性变化的检验." 统计研究 (Statistical Research), 39(04): 122-133.

基于Katz分布的计数数据自回归模型以及其在预测呼吸系统患病人数中的应用

Published in 应用概率统计, 2020

本论文提出了一种基于Katz分布的计数数据自回归模型，并将其应用于预测呼吸系统疾病的发病人数。该方法在处理高维数据时表现出了较好的预测能力。

Recommended citation: 孙佳婧（第一作者、通讯作者）等 (2020). "基于Katz分布的计数数据自回归模型以及其在预测呼吸系统患病人数中的应用." 应用概率统计, 36(6): 551-568.

Chinese leadership: Provincial perspectives on promotion and performance

Published in Environment and Planning C: Politics and Space, 2018

This paper investigates Chinese leadership practices, focusing on provincial perspectives on promotion and performance.

Recommended citation: Sun, J., Cole, M., Huang, Z., & Wang, S. (2018). "Chinese leadership: Provincial perspectives on promotion and performance." Environment and Planning C: Politics and Space, 37(4), 750-772.
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An RKHS-based approach to double-penalized regression in high-dimensional partially linear models

Published in Journal of Multivariate Analysis, 2018

This paper introduces an RKHS-based approach for double-penalized regression in high-dimensional partially linear models.

Recommended citation: 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.
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An information diffusion-based model of oil futures price

Published in Energy Economics, 2013

This paper proposes an information diffusion-based model for predicting oil futures prices, addressing the dynamics of information spread in financial markets.

Recommended citation: Li, Z., Sun, J., & Wang, S. (2013). "An information diffusion-based model of oil futures price." Energy Economics, 36, 518-525.
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A bootstrap test for comparing two variances: simulation of size and power in small samples

Published in Journal of Biopharmaceutical Statistics, 2011

This paper develops a bootstrap test for comparing two variances, focusing on its simulation of size and power in small samples.

Recommended citation: 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.
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