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Rats: the programs and data for Analysis of Financial Time Series , 3e by Ruey Tsay (2010, Wiley)
This is a graduate level text on time series analysis with a special emphasis on computations needed in finance. For instance, there are several examples which compute the value-at-risk (VaR) using different methods. This also has quite a few "non-standard" GARCH models that require estimation by MAXIMIZE, though it also uses more standard GARCH models as well. Several other areas not generally covered in textbooks are threshold models, and Gibbs sampling. Note that the Gibbs sampling examples often use rather inefficient techniques (for instance "griddy Gibbs") and so several are quite slow.
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