The second course in financial econometrics focuses on modelling and forecasting financial time series. The aim is to teach how to evaluate basic models and principles in the analysis of the financial time series, to interpret the existing empirical literature and execute new empirical studies in the areas of asset pricing, market microstructure and the general modelling of financial time series. The course covers univariate and multivariate stationary and non-stationary time series models as well as models of volatility.