MFE
I am on sabbatical in the 2011-2012 academic year.
Notes
Financial Econometrics Notes (Complete Set) 
Chapter 1 (Estimation and Inference)
Chapter 2 (Cross Sectional Analysis)
Chapter 3 (Univariate Time Series)
Chapter 4 (Multivariate Time Series)
Chapter 5 (Generalized Method of Moments)
Chapter 6 (Univariate Volatility)
Chapter 7 (Value-at-Risk and Density Forecasting)
Chapter 8 (Multivariate Volatilty, Dependence and Copulas)
List of Typos