This is a course in empirical work on the asset pricing side of financial economics. It involves a combination of financial and econometric theory, as well as concrete data applications. The course starts with a review of econometric methods often used in empirical asset pricing research, and an introduction to stochastic processes used in macroeconomic and financial modeling. The focus will be on the generalized methods of moments, and on affine and regime-switching processes. These tools are introduced as a way to answering economic questions; the course is not focussing on econometric methodology per se. After reviewing the most popular asset pricing models, these techniques are applied to evaluate the ability of the models in matching stylized facts about stocks, bonds, volatility, asymmetry, currencies and defaultable claims.