We start with the introduction of basic time series models (AR, MA, ARMA; ARCH and GARCH models for financial time series), trend removal and seasonal adjustment; model selection and estimation; forecasting. The second half of the course focus on multivariate and high dimensional time series: Factor modelling for vector and matrix-valued time series; Multivariate GARCH and regularisation methods. Simple examples of nonlinear time series models including threshold models. R examples will be given in lecture notes, and R applications will be investigated in exercises.