时间序列方面可以看看:
Walter Enders, Applied Econometric Time Series (2nd Edition), John Wiley & Sons Inc. 2004.
Ruey S. Tsay, Analysis of financial time series (2nd edition), John Wiley & Sons. 2005.3.
George Box, Gwilym M. Jenkins, Gregory Reinsel, Time Series Analysis: Forecasting & Control (3rd Edition) , 1994.
当然还有汉密尔顿的,但是难度很大。