This document introduces the key concepts in econometrics and financial econometrics. It defines econometrics as the application of statistical and mathematical techniques to economic and financial problems. Some examples of problems that can be solved using econometrics are testing market efficiency, modeling volatility, and forecasting correlations. The document discusses the different types of data used in econometrics, including time series, cross-sectional, and panel data. It also covers important financial concepts like returns, deflating nominal values for inflation, and the differences between classical and Bayesian statistical approaches.