Required (Stanford students have access to free online copies of each of these):
Asymptotic Statistics, by van der Vaart, published by Cambridge University Press (ISBN-13: 9780521784504).
High Dimensional Probability, by Roman Vershynin, published by Cambridge University Press.
High Dimensional Statistics, by Martin Wainwright, published by Cambridge University Press.
Recommended:
Theory of Point Estimation, second edition, by Lehmann and Casella, published by Springer (ISBN-13: 978-0387985022).
Testing Statistical Hypotheses, third edition, by Lehmann and Romano, published by Springer (ISBN-13: 978-0387988641).
Elements of Large Sample Theory, by Lehmann, published by Springer (ISBN-13: 978-0387985954).