6.4 Further Reading: The GWN Return Model
The location-scale form of the GWN model (6.2) is commonly used as a starting point for the distributional analysis of returns. In this chapter, and throughout most of the book, we use the standard normal distribution for the standardized news shock. However, many other standardized distributions that are additive (e.g., skew-normal, Student’s t, skewed-t, etc.) can also be used as illustrated in (Jondeau, Poon, and Rockinger 2007), (Pfaff 2013), (Carmona 2014), and (Ruppert and Matteson 2015).
 gives as comprehensive non-technical description of the RW model for stock prices.
Carmona, R. 2014. Statistical Analysis of Financial Data in R, Second Edition. New York: Springer.
Jondeau, E., S.-H. Poon, and M. Rockinger. 2007. Financial Modeling Under Non-Gaussian Distributions. New York: Springer.
Pfaff, B. 2013. Financial Risk Modelling and Portfolio Optimization with R. Chichester, UK.: Wiley.
Ruppert, D., and D. S. Matteson. 2015. Statistics and Data Analysis for Financial Engineering with R Examples. New York: Springer.