This book - an overview of contemporary topics related to the modelling of financial time series - is set against a backdrop of rapid expansions of interest in both the models themselves and the financial problems to which they are applied. This excellent textbook covers all the major developments in the area in recent years in an informative as well as succinct way. Themes covered include: * unit roots, cointegration and other developments in the study of time series models * time varying volatility models of the GARCH type and the stochastic volatility approach * analysis of stock persistence and impulse responses * Markov switching * Present value relations and data characteristics Refreshingly, every chapter has a section of two or more examples and a section of empirical literature, offering the reader the opportunity to practice right away the kind of research going on in the area. This approach helps the reader develop interest, confidence and momentum in learning contemporary econometric topics. Graduate and advanced undergraduate students requiring a broad knowledge of techniques applied in the finance literature, as well as students of financial economics engaged in empirical enquiry, should find this textbook to be invaluable.