This course is an introduction to the econometric principles and techniques commonly used for analysing financial time series data. We will consider key empirical characteristics of financial time series data. Inference methods for the capital asset pricing model, arbitrage pricing model, and market efficiency will be demonstrated. Econometric techniques for modelling uni-variate and multi-variate time series will be introduced. For multi-variate time series, we will examine the notion of cointegration and error correction mechanism, as well as related applications in finance and economics. We will introduce GARCH-type volatility models for asset return series, paying particular attention to their applications in measuring investment risks. Some recent developments in realised volatility, a risk measure constructed from high-frequency data, will also be discussed.