7.8 Further Reading: Estimation of The GWN Model

  • Good introductory statistical theory is given in (DeGroot and Schervish 2011). For an econometrics focus see (Goldberger 1991). More advanced books - (Casella and Berger 2002), Bickell and Dokson.
  • R books on statistics, Monte Carlo and bootstrapping: (Vinod 2010) (bootstrapping)
  • Surprisingly, the statistical properties of VaR are often not discussed much in standard textbook treatments. See, for example (Jorion 1997).

References

Casella, G., and R. L. Berger. 2002. Statistical Inference. 2nd Ed. Pacific Grove, CA: Thomson Learning.

DeGroot, M. H., and M. J. Schervish. 2011. Probability and Statistics, 4th Edition. Pearson.

Goldberger, A. S. 1991. A Course in Econometrics. Cambridge, MA.: Harvard University Press.

Jorion, P. 1997. Value at Risk: The New Benchmark for Controlling Market Risk. New York: McGraw-Hill.

Vinod, H. D. 2010. Advances in Social Science Research Using R. New York, NY: Springer.