Advanced econometrics course covers a number of the most important areas of discipline. In particular, the methods and models of analysis of multidimensional time series, the latest achievements in the field of financial econometrics (copule functions, methods of financial risk management) are presented. To solve problems, economic tools are used, including relatively recently developed modern methods for analyzing multidimensional time series, the Bayesian approach in combination with methods of simulation statistical modeling, advanced numerical optimization methods. Computational implementation of the examples described in the textbook is based on the use of statistical and econometric packages R, Stata, Eviews, GAUSS. For undergraduate and graduate students of economic and mathematical specialization interested in advanced econometric methods and their applications in finance, as well as employees of analytical services of banks and investment companies