The topic of full counting statistics provides a method to extract information about a nanoscopic conductor from the statistics of an electron current passing through it. Typically, only the zero-frequency (or long-time limit) statistics are discussed, but in this talk I discuss how much more can be gleaned about the system by considering current correlations and counting statistics at finite frequencies and measurement times. I will discuss our recent quantum master equation calculations and focus on the nonMarkovian effects that arise from correlations between the system and leads. These are pivotol in describing e.g. quantum noise in situations where the measurement frequency is larger than applied voltage and temperature. As physical examples of when nonMarkovian examples play an important role, I discuss the detector back-action of Single Electron Transistors, the short-time counting statistics of quantum dots and the finite-frequency current noise through a double quantum dot charge qubit at arbitrary bias voltages.