Through using ten examples, the talk focuses on the recent development on nonlinear time series econometrics and financial econometrics. Such examples cover the following models: 1. Nonlinear time series trend model; 2. Partially linear autoregressive model; 3. Nonlinear capital asset pricing model; 4. Additive capital asset pricing model; 5. Varying-coefficient capital asset pricing model; 6. Semiparametric error-term model; 7. Nonlinear and nonstationary model; 8. Partially linear ARCH model; 9. Continuous-time financial model; and 10. Stochastic volatility model.