Základní literatura:

HARVEY, A C.: Dynamic models for volatility and heavy tails: with applications to financial and economic time series. Cambridge Cambridge University Press 2013
WANG, P.: Financial econometrics: methods and models. London Routledge 2003
SHUMWAY, R H. – STOFFER, D S.: Time series analysis and its applications: with R examples. New York Springer 2011
DURBIN, J. – KOOPMAN, S J.: Time series analysis by state space methods Oxford Oxford University Press 2001