This course is designed to provide a variety of new econometric tools useful to investigate financial data. It discusses how to measure and forecast financial volatility using models such as Stochastic Volatility, multivariate GARCH, and Dynamic Conditional Correlation models. It also covers Dynamic Factor models and State Space models, which can be used in many financial data analyses. The course will be particularly helpful for the students preparing dissertations in the field of finance, macro-finance, monetary economics, international finance, and development economics. It will also benefit the students interested in more practical use of tools in the field such as financial risk management, insurance, and commercial banking. Prerequisite: ECON 818. ECON 916 is recommended.