Publications of David A. Hsieh
Books
- Brock, WA; Hsieh, DA; LeBaron, B, Nonlinear Dynamics, Chaos, and Instability - Unix version, vol. 1
(April, 1992), ISBN 0-262-52172-5
- Brock, WA; Hsieh, DA; LeBaron, BD, Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence Hauptbd
(1991),
pp. 328 pages, Cambridge University Press
Journal Articles
- Fung, W; Hsieh, D; Naik, N; Teo, M, Hedge fund franchises,
Management Science, vol. 67 no. 2
(February, 2021),
pp. 1199-1226
- Esquivel, P; Orjuela, A; Barros, MP; Osorio, C, Potential Opportunities and Challenges for Research Collaboration with Latin America in Agriculture and Food Science.,
Journal of agricultural and food chemistry, vol. 65 no. 37
(September, 2017),
pp. 8096-8098
- Edelman, D; Fung, W; Hsieh, DA, Exploring uncharted territories of the hedge fund Industry: Empirical characteristics of mega hedge fund firms,
Journal of Financial Economics, vol. 109 no. 3
(September, 2013),
pp. 734-758, Elsevier BV, ISSN 0304-405X
- Edelman, D; Fung, W; Hsieh, DA; Naik, NY, Funds of hedge funds: Performance, risk and capital formation 2005 to 2010,
Financial Markets and Portfolio Management, vol. 26 no. 1
(March, 2012),
pp. 87-108, Springer Nature, ISSN 1555-4961
- Fung, W; Hsieh, DA, The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds,
Journal of Empirical Finance, vol. 18 no. 4
(September, 2011),
pp. 547-569, Elsevier BV, ISSN 0927-5398
- Fung, W; Hsieh, DA, Perspectives: Measurement Biases in Hedge Fund Performance Data: An Update,
Financial Analysts Journal, vol. 65 no. 3
(June, 2009)
- Fung, W; Hsieh, DA, Measurement biases in hedge fund performance data: An update,
Financial Analysts Journal, vol. 65 no. 3
(May, 2009),
pp. 36-38, Informa UK Limited, ISSN 0015-198X
- Fung, W; Hsieh, DA; Naik, NY; Ramadorai, T, Hedge funds: Performance, risk, and capital formation,
Journal of Finance, vol. 63 no. 4
(August, 2008),
pp. 1777-1803, WILEY, ISSN 0022-1082
- Hsieh, DA, Hedge Fund Replication Strategies: Implications for Investors and Regulators,
Financial Stability Review, vol. 10
(2007),
pp. 55-66
- Fung, W; Hsieh, DA, Will Hedge Funds Regress Towards Index-Like Products?,
Journal of Investment Management, vol. 5 no. 2
(2007)
- Hsieh, DA, The Search for Alpha—Sources of Future Hedge Fund Returns,
CFA Institute Conference Proceedings Quarterly, vol. 23 no. 3
(September, 2006),
pp. 79-89, CFA Institute, ISSN 1930-2703
- Hsieh, DA; Fung, W, Hedge Funds: An Industry in Its Adolescence,
Economic Review, vol. 65 no. 4
(2006),
pp. 1-33
- Funga, W; Hsieh, DA, Extracting portable alphas from equity long/short hedge funds, vol. 2 no. 4
(January, 2005),
pp. 161-180, World Scientific
- Fung, W; Hsieh, DA, Hedge fund benchmarks: A risk-based approach,
Financial Analysts Journal, vol. 60 no. 5
(January, 2004),
pp. 65-80, Informa UK Limited, ISSN 0015-198X
- Fung, W; Hsieh, DA, Asset-Based Style Factors for Hedge Funds,
Financial Analysts Journal, vol. 58 no. 5
(January, 2002),
pp. 16-27, Informa UK Limited
- Fung, W; Hsieh, DA, Hedge-Fund Benchmarks: Information Content and Biases,
Financial Analysts Journal, vol. 58 no. 1
(January, 2002),
pp. 22-34, Informa UK Limited
- Hsieh, DA, The Risk in Fixed-Income Hedge Fund Styles,
Journal of Fixed Income, vol. 12 no. 2
(2002),
pp. 6-27, Institutional Investor Inc, ISSN 1059-8596
- Fung, W; Hsieh, DA, The risk in hedge fund strategies: Theory and evidence from trend followers,
Review of Financial Studies, vol. 14 no. 2
(January, 2001),
pp. 313-341, Oxford University Press (OUP)
- Fung, W; Hsieh, DA, Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases,
Journal of Financial and Quantitative Analysis, vol. 35 no. 3
(January, 2000),
pp. 291-307, JSTOR
- Fung, W; Hsieh, DA, Measuring the market impact of hedge funds,
Journal of Empirical Finance, vol. 7 no. 1
(January, 2000),
pp. 1-36, Elsevier BV
- Fung, W; Hsieh, DA, Is mean-variance analysis applicable to hedge funds?,
Economics Letters, vol. 62 no. 1
(January, 1999),
pp. 53-58, Elsevier BV
- Fung, W; Hsieh, DA, A primer on hedge funds,
Journal of Empirical Finance, vol. 6 no. 3
(January, 1999),
pp. 309-331
- Fung, W; Hsieh, DA, Survivorship bias and investment style in the returns of CTAs: The information content of performance track records,
Journal of Portfolio Management, vol. 24 no. 1
(January, 1997),
pp. 30-41, Institutional Investor Journals
- Fung, W; Hsieh, DA, Empirical characteristics of dynamic trading strategies: The case of hedge funds,
Review of Financial Studies, vol. 10 no. 2
(January, 1997),
pp. 275-302, Oxford University Press (OUP)
- Gallant, AR; Hsiehb, D; Tauchen, G, Estimation of stochastic volatility models with diagnostics,
Journal of Econometrics, vol. 81 no. 1
(January, 1997),
pp. 159-192, Elsevier BV, ISSN 0304-4076
- Fung, W; Hsieh, DA, Global Yield Curve Event Risks,
The Journal of Fixed Income, vol. 6 no. 2
(September, 1996),
pp. 37-48, Pageant Media US, ISSN 1059-8596
- Hsieh, DA, Nonlinear Dynamics in Financial Markets: Evidence and Implications,
Financial Analysts Journal, vol. 51 no. 4
(July, 1995),
pp. 55-62, CFA Institute, ISSN 0015-198X
- Hsieh, DA; Peters, EE, Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility.,
The Journal of Finance, vol. 48 no. 5
(December, 1993),
pp. 2041-2041, JSTOR
- Hsieh, DA, Assessing the Market and Credit Risks of Long-Term Interest Rate and Foreign Currency Products,
Financial Analysts Journal, vol. 49 no. 4
(July, 1993),
pp. 75-79, Informa UK Limited, ISSN 0015-198X
- Hsieh, DA, Using non-linear methods to search for risk premia in currency futures,
Journal of International Economics, vol. 35 no. 1-2
(January, 1993),
pp. 113-132, Elsevier BV, ISSN 0022-1996
- Hsieh, DA, Implications of Nonlinear Dynamics for Financial Risk Management,
Journal of Financial and Quantitative Analysis, vol. 28 no. 1
(January, 1993),
pp. 41-64, JSTOR, ISSN 0022-1090
- BANSAL, R; HSIEH, DA; VISWANATHAN, S, A New Approach to International Arbitrage Pricing,
The Journal of Finance, vol. 48 no. 5
(January, 1993),
pp. 1719-1747, WILEY, ISSN 0022-1082
- Hsieh, DA, A nonlinear stochastic rational expectations model of exchange rates,
Journal of International Money and Finance, vol. 11 no. 3
(January, 1992),
pp. 235-250, Elsevier BV, ISSN 0261-5606
- HSIEH, DA, Chaos and Nonlinear Dynamics: Application to Financial Markets,
The Journal of Finance, vol. 46 no. 5
(January, 1991),
pp. 1839-1877, WILEY, ISSN 0022-1082
- Hsieh, DA; Fung, W, Estimating the Dynamics of Foreign Currency Futures,
Review of Futures Markets (Kent), vol. 10
(1991),
pp. 490-514, ISSN 1933-7116
- Hsieh, DA, Implications of Observed Properties of Daily Exchange Rate Movements,
Journal of International Financial Markets, Institutions & Money, vol. 1
(1991),
pp. 61-71, Elsevier, ISSN 1042-4431
- HSIEH, DA; MILLER, MH, Margin Regulation and Stock Market Volatility,
The Journal of Finance, vol. 45 no. 1
(January, 1990),
pp. 3-29, WILEY, ISSN 0022-1082
- Hsieh, DA, Testing for Nonlinear Dependence in Daily Foreign Exchange Rates,
The Journal of Business, vol. 62 no. 3
(January, 1989),
pp. 339-339, University of Chicago Press, ISSN 0021-9398
- Hsieh, DA, Modeling Heteroskedasticity in Daily Exchange Rates,
Journal of Business and Economic Statistics, vol. 7 no. 3
(1989),
pp. 307-317, Informa UK Limited
- Hsieh, DA, The statistical properties of daily foreign exchange rates: 1974-1983,
Journal of International Economics, vol. 24 no. 1-2
(January, 1988),
pp. 129-145, Elsevier BV, ISSN 0022-1996
- Hsieh, DA; Manski, CF, Empirical Regularities in the Deutsche Mark Futures Options,
Advances in Futures and Options Research, vol. 3
(1988),
pp. 183-208
- Hsieh, DA; Manski, CF, Monte Carlo Evidence on Adaptive Maximum Likelihood Estimation of a Regression,
The Annals of Statistics, vol. 15 no. 2
(June, 1987),
pp. 541-551, Institute of Mathematical Statistics, ISSN 0090-5364
- Bilson, JFO; Hsieh, DA, The profitability of currency speculation,
International Journal of Forecasting, vol. 3 no. 1
(January, 1987),
pp. 115-130, Elsevier BV, ISSN 0169-2070
- Hsieh, DA; Leiderman, L, Portfolio Implications of Empirical Rejections of the Expectations Hypothesis,
Review of Economics and Statistics, vol. 68 no. 4
(1986),
pp. 680-684, Massachusetts Institute of Technology Press (MIT Press): Economics Titles, ISSN 1530-9142
- Chan, KC; Chen, NF; Hsieh, DA, An exploratory investigation of the firm size effect,
Journal of Financial Economics, vol. 14 no. 3
(January, 1985),
pp. 451-471, Elsevier BV, ISSN 0304-405X
- Hsieh, DA; Manski, CF; McFadden, D, Estimation of response probabilities from augmented retrospective observations,
Journal of the American Statistical Association, vol. 80 no. 391
(January, 1985),
pp. 651-662, Taylor & Francis: SSH Journals, ISSN 1537-274X
- Hsieh, DA; Lee, J, Choice of Inventory Accounting Method: a Ricardian,
Journal of Accounting Research, vol. 80 no. 2
(1985),
pp. 468-485, Wiley: 24 months - No Online Open, ISSN 1475-679X
- Hsieh, DA, Tests of rational expectations and no risk premium in forward exchange markets,
Journal of International Economics, vol. 17 no. 1-2
(January, 1984),
pp. 173-184, Elsevier BV, ISSN 0022-1996
- Hsieh, DA, International risk sharing and the choice of exchange-rate regime,
Journal of International Money and Finance, vol. 3 no. 2
(January, 1984),
pp. 141-151, Elsevier BV, ISSN 0261-5606
- Hsieh, DA, A heteroscedasticity-consistent covariance matrix estimator for time series regressions,
Journal of Econometrics, vol. 22 no. 3
(January, 1983),
pp. 281-290, Elsevier BV, ISSN 0304-4076
- Hsieh, DA, The determination of the real exchange rate. The productivity approach,
Journal of International Economics, vol. 12 no. 3-4
(January, 1982),
pp. 355-362, Elsevier BV, ISSN 0022-1996
- HSIEH, DA; KULATILAKA, N, Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange,
The Journal of Finance, vol. 37 no. 5
(January, 1982),
pp. 1199-1207, WILEY, ISSN 0022-1082
Chapters in Books
- Hsieh, DA, What Can Central Bankers Learn from Hedge Fund Replication Strategies?
(January, 2009),
pp. 331-347
- Hsieh, DA; Fung, W, The Risks in Hedge Fund Strategies: Alternative Alphas and Alternative Betas,
in Managing the Risks of Alternative Investment Strategies, edited by Jaeger, L
(2003), Prentice Hall
- Hsieh, DA, Hedge funds styles, edited by AbuMostafa, YS; LeBaron, B; Lo, AW; Weigend, AS,
COMPUTATIONAL FINANCE 1999
(January, 2000),
pp. 359-367, M I T PRESS, ISBN 0-262-01178-6
- Hsieh, DA; Fung, W; Tsatsaronis, K, Do Hedge Funds Disrupt Emerging Markets,
in Wharton-Brookings Papers on Financial Services
(2000),
pp. 377-421
- Hsieh, DA; Kleidon, A, Bid-Ask Spreads in Foreign Exchange Markets: Implications for Models of Asymmetric Information,
in The Microstructure of Foreign Exchange Markets, edited by Galli, G; Giovannini, A
(1996),
pp. 41-65, National Bureau of Economic Research, ISBN 0226260003
- Hsieh, DA; Kleidon, A, Bid-Ask Spreads in Foreign Exchange Markets: Implications for Models of Asymmetric Information, edited by Frankel, J; Galli, G; Giovannini, A
(1996),
pp. 41-65, University of Chicago Press, ISBN 0226260003
- Hsieh, DA, Estimating the Dynamics of Volatility,
in Conference on Financial Innovation: 20 Years of Black/Scholes and Merton
(1993),
pp. 507-521, Fuqua School of Business
- Hsieh, DA; Fung, W; Leitner, J, Exploiting the Interest Rate Differential in Currency Trading,
in Strategic Currency Investing: Trading and Hedging in the Foreign Exchange Market, edited by Gitlin, A
(1993),
pp. 260-286, Probus Publishing Company
- Hsieh, DA; Gallant, RA; Barnett, W, On Fitting a Recalcitrant Series: the Pound/Dollar Exchange Rate, 1974-83,
in Nonparametric and Semiparametric Methods in Econometrics and Statistics, Proceedings of the Fifth International Symposium in Economic Theory and Econometrics, edited by Barnett, W; Powell, J; Tauchen, G
(1991),
pp. 199-240, Cambridge University Press, ISBN 0521370906
- Hsieh, DA; Gallant, AR; Tauchen, G, On Fitting a Recalcitrant Series: the Pound/Dollar Exchange Rate,
in Nonparametric and Semiparametric Methods in Econometrics and and Statistics, Proceedings of the Fifth International Symposium in Econmic Theory and Econometrics, edited by Barnett, WA; Powell, J; Tauchen, G
(1991),
pp. 199-240, Cambridge University Press, ISBN 0521370906
- Hsieh, DA; Huizinga, J, Gold in the Optimal Portfolio,
in The Reconstruction of International Monetary Arrangements, edited by Aliber, R
(1987),
pp. 212-261, MacMillan