Financial econometrics : scope and methods -- Review of probability and statistics -- Regression analysis : theory and estimation -- Selected topics in regression analysis -- Regression applications in finance -- Modeling univariate time series -- Approaches to ARIMA modeling and forecasting -- Autoregressive conditional heteroskedastic models -- Vector autoregressive models I -- Vector autoregressive models II -- Cointegration and state space models -- Robust estimation -- Principal components analysis and factor analysis -- Heavy-tailed and stable distributions in financial econometrics -- ARMA and ARCH models with infinite-variance innovations -- Appendix : Monthly returns for 20 stocks : December 2000-November 2005.