Plot legend - cyrilic?

I need to make cyrilic legend in Matlab plot. I am doing it with:

legend({'прва.'}, 'Fontname','Times new roman', 'FontSize', 16);

It is nice font, but when I export my plot in eps and use it in Latex, it is not nice font anymore.

If I do it with

legend({'прва.'}, 'Interpreter', 'LaTeX', 'FontSize', 16);

it will be the not nice font in both, Matlab and Latex.

Also, Italic command does not work with cyrilic in plot legend.

What should I do to make nice plot and nice font for cyrilic in Latex?