Econometric Asset Pricing Modelling The purpose of this paper is to propose a general econometric approach to asset pricing modelling based on three main ingredients : (i) the historical discrete-time dynamics of the factor representing the information, (ii) the Stochastic Discount Factor (SDF), and (iii) the discrete-time risk-neutral (R.N.) factor dynamics. Retaining an exponential-affine specification of the SDF, its modelling isequivalent to the specification of the factor loading vector and of the short rate, if the latter is neither exogenous nor a known function of the factor. In this general framework, we distinguish three modelling strategies: the Direct Modelling, the Risk-Neutral Constrained Direct Modelling and the Back Modelling. In all the approaches we study the internal consistency constraints, implied by the absence of arbitrage opportunity (AAO) assumption, and the identification problem. We also propose interpretations of the factor loading vector in terms of market price of risk. The general modelling strategies are applied to two important cases: security market models and term structure of interest rates models. In the context of security market models, we show the relevance of our methods for various kinds of specifications: switching regime models, stochastic volatility models, Gaussian and Inverse Gaussian GARCH-type models (with or without regime-switching). In the interest rates modelling context, we consider several illustrations: VAR modelling, Switching VAR modelling and Wishart modelling. We also propose, using a Gaussian VAR(1) approach, an example of joint modelling of geometric returns, dividends and short rate. In these contexts we stress the usefulness of the Risk-Neutral Constrained Direct Modelling approach and of the Back Modelling approach, both allowing to conciliate a flexible historical dynamics and a Car R.N. dynamics leading to explicit or quasi explicit pricing formulas for various derivative products. Moreover, we highlight the possibility to specify asset pricing models able to accommodate non-affine historical and R.N. factor dynamics with tractable pricing formulas.