For over 30 years financial econometrics became one of the most dynamically developing areas in econometrics. That is a reason why many researchers are interested in the models and other analytical tools that have been developed recently. It gives hope for finding solutions for consecutive financial problems arising almost every day. The financial crisis of the years 2007-2009 caused that econometric models were subject of doubt in their effectiveness in empirical finance. As a consequence the researchers’ attention was directed onto motivations and attitudes analyzed using behavioral models and methods. They influenced development of the theory, particularly applied in microstructure analysis. Another branch of development of contemporary financial econometrics is related with risk transfer across different markets and new risk measures as well.

The paper focuses on survey of the methods developed in the last years and their effectiveness in empirical research.

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1. Performance of American and Russian joint stock companies on financial market – a microstructure perspective