Could someone be so kind as to direct me to a good source that would explain time series (more specifically) stock price prediction using Kalman filters, Extended kalman filters or particle filters. Many thanks
This web site provides a good entry point on Kalman filtering. It has a listing of books, software and more. The applications are biased towards navigation, but the applications to economic time series are also covered.
For an older introduction, specifically to the use of Kalman filters for stock price prediction, see this thesis on Kalman filtering approach to market price forecasting.