Linear univariate time series models (ARIMA) for stationary processes, characteristic properties of integrated processes, Donskers Theorem, tests for non stationarity (trend), modelling of conditional volatilities (GARCH)
J.Y. Campbell, A.W. Lo, A.C. MacKinlay, The Econometrics of Financial Markets
T.C. Mills, The Econometric Modelling of Financial Time Series
P. Hackl, Einführung in die Ökonometrie