Our goal is to produce theoretical research related to econometric methods and models relevant to finance and macroeconomics, and to employ the results of this research in empirical applications in these fields. We are especially interested in models and methods that allow for the incorporation of macroeconomic variables into models for financial returns and vice versa. The fruitful border area between the two fields offers a large number of potential applications, including asset pricing, measuring and forecasting financial and macroeconomic risks, forecasting the state of the economy and modelling the effect of macroeconomic news announcements on financial markets. Apart from extending the academic literature in econometrics, macroeconomics and finance, the results of the proposed research agenda should be of great interest to practitioners.