Links to excellent references:
Eric Zivot and Jiuhui Wang Modeling Financial Time Series
with Splus http://faculty.washington.edu/ezivot/modelingFinancialTimeSeries.htm
Robert H. Shumway and David S. Stoffer, Time Series
Analysis and Its Applications http://lib.stat.cmu.edu/general/tsa/tsa.html
H.
Joseph Newton’s time series site