I took a Time Series (TS) course during my MA program and though it is was not as rigorous as a PhD course I found it helpful for financial studies. The course was actually pretty fun to take. There are certain aspects of TS that aren't necessarily covered under cross sectional studies. Of course random walks are covered but TS also goes over issues of how to clean up data to remove trends, etc. I think if your focus is financial econ then it would greatly assist you to take it. I was told by professors that TS isn't necessarily helpful to most economists but makes sense for applied econ and financial econ.
I can be over generalizing financial econ theory so if there are any others that are well versed in financial econ and/or have taken PhD level TS please correct me.