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- 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