The session is concerned with theoretical, numerical and empirical papers in the following areas: econometrics; financial econometrics; statistics; estimation; inference; diagnostic testing and evaluation; forecasting in economics and finance; univariate and multivariate methods; conditional volatility; stochastic volatility; realized volatility; semi-parametric and non-parametric methods; Bayesian methods; testing causality in moments; financial economics and econometrics; testing models in finance; discrete time and continuous time techniques; missing data and interpolation for financial data; and modelling stock price dynamics.