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Elements of Statistical Learning by Hastie, Tibshirani and Friedman is one of the most-cited books for your purpose. Although it does not have any direct applications to Finance, this is definitely a good book to have in your professional library and can be used as a reference for most topics. If you want to use a book with more financial applications, I ...


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I think a good book to start in your case is: Attilio Meucci: Risk and Asset Allocation I once had a seminar held by Attilio that was based on the book and it blew my mind. The book is very intuitive yet rigorous.


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I would highly recommend this books: Mathematics and Statistics for Financial Risk Management: Book 1 The other one, is Chapter three from, Practical Methods of Financial Engineering and Risk Management: Tools for Modern Financial Professionals: Book 2 Hope it helps.


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Let $u_t$ be the random walk $$ u_t = u_{t-i} + \varepsilon_t $$ where $\mathrm{E}[\varepsilon_t]=0$ and $\mathrm{var}[\varepsilon_t]=\sigma^2$ , i.e. $\varepsilon_t$ is stationary. Now let $$X_t = \alpha u_t +\nu_t$$ and $$Y_t = \beta u_t + \eta_t$$ where $\nu_t$ and $\eta_t$ are stationary processes similar to $\varepsilon_t$ Then both $X_t$ and ...


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I don't know if there are any additional issues that arise with using goodness off fit with a piece-wise function. When I have fit generalized pareto distributions to series like financial market returns, I have noticed that it is common to differences between the estimated distribution and observed returns at the cutoff points. This is going to be the main ...



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