This volume presents five survey papers on time series econometrics, and a modern financial econometrics software package. Starting with a survey of recent theoretical developments for time series models with GARCH errors, the contributions go on to examine the bootstrapping of financial time series, developments in futures hedging, measures of fit for rational expectations models, asset pricing with observable stochastic discount factors and a financial econometrics software package for estimating and forecasting ARCH models. Each of the papers blends theoretical and empirical issues, enabling theoreticians and practitioners alike to keep up with the most contemporary developments in the field. Table of Contents The Econometrics of Financial Time Series, Michael McAleer and Les Oxley Recent Theoretical Results for Time Series Models with GARCH Errors, W.K. Li, Shiqing Ling and Michael McAleer Bootstrapping Financial Time Series, Esther Ruiz and Lorenzo Pascual Measures of Fit for Rational Expectations Models, Tom Engsted Some Recent Developments in Futures Hedging, Donald Lien and Y.K. Tse Asset Pricing with Observable Stochastic Discount Factors, Peter Smith and Michael Wickens G@RCH 2.2 - An Ox Package for Estimating and Forecasting Various ARCH Models - Sebastien Laurent and Jean-Philippe Peters.