Modelling economic and financial time series is an active area of research for both statisticians and econometricians. The stylised facts inherent in these time series must be carefully considered, bringing new opportunities for the development of procedures to enhance estimation and forecasting accuracy. These procedures stand to benefit practitioners and the wider community as well. This session will concentrate on recent advancements in modelling and forecasting economic and financial time series, with three speakers coming from Italy, Mexico, and Brazil presenting their respective proposals and delineating the advantages over traditional methods.