The 10th International Conference on Computational and Financial Econometrics (CFE 2016) took place at the Higher Technical School of Engineering, University of Seville, Spain, 9-11 December 2016. Tutorials were given on Thursday 8th of December 2016 and a CRoNoS Winter Course did take place the 6-7 December 2016. This conference was organized by the CFEnetwork, University of Seville, Spain, Queen Mary University of London and Birkbeck University of London, UK. The new journal Econometrics and Statistics (EcoSta) and its supplement, the Annals of Computational and Financial Econometrics are the main sponsors of the conference. Co-chairs: Peter Boswijk, Jianqing Fang, Alain Hecq, Michael Smith.