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Publications of David A. Hsieh    :recent first  alphabetical  combined  bibtex listing:

Books

  1. Brock, WA; Hsieh, DA; LeBaron, BD, Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence Hauptbd (1991), pp. 328 pages, Cambridge University Press
  2. Brock, WA; Hsieh, DA; LeBaron, B, Nonlinear Dynamics, Chaos, and Instability - Unix version, vol. 1 (April, 1992), ISBN 0-262-52172-5  [abs]

Journal Articles

  1. 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 [doi]  [abs]
  2. 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 [doi]  [abs]
  3. 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 [doi]  [abs]
  4. 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 [doi]  [abs]
  5. 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 [doi]  [abs]
  6. 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
  7. Hsieh, DA; Manski, C; McFadden, D, estimation of response probabilities from augmented, Journal of the American Statistical Association, vol. 80 no. 391 (1985), pp. 651-662, Taylor & Francis: SSH Journals, ISSN 1537-274X [doi]  [abs]
  8. 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 [doi]  [abs]
  9. 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
  10. 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 [doi]  [abs]
  11. 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 [doi]
  12. Hsieh, DA; Manski, CF, Empirical Regularities in the Deutsche Mark Futures Options, Advances in Futures and Options Research, vol. 3 (1988), pp. 183-208
  13. 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 [doi]  [abs]
  14. 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 [doi]  [abs]
  15. 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 [doi]
  16. 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 [Gateway.cgi], [doi]  [abs]
  17. 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
  18. 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
  19. 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 [Gateway.cgi], [doi]  [abs]
  20. 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 [doi]  [abs]
  21. 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 [doi]  [abs]
  22. 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 [Gateway.cgi], [doi]  [abs]
  23. 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 [Gateway.cgi], [doi]  [abs]
  24. 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 [doi]
  25. 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 [doi]
  26. 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 [doi]
  27. 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 [doi]
  28. 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 [doi]
  29. 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) [doi]  [abs]
  30. 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 [repository], [doi]  [abs]
  31. 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 [doi]  [abs]
  32. Fung, W; Hsieh, DA, A primer on hedge funds, Journal of Empirical Finance, vol. 6 no. 3 (January, 1999), pp. 309-331 [doi]  [abs]
  33. 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 [doi]  [abs]
  34. 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 [doi]  [abs]
  35. 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) [doi]  [abs]
  36. 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 [doi]
  37. 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 [doi]  [abs]
  38. 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 [doi]  [abs]
  39. 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 [doi]  [abs]
  40. Funga, W; Hsieh, DA, Extracting portable alphas from equity long/short hedge funds, vol. 2 no. 4 (January, 2005), pp. 161-180, World Scientific [doi]  [abs]
  41. Hsieh, DA; Fung, W, Hedge Funds: An Industry in Its Adolescence, Economic Review, vol. 65 no. 4 (2006), pp. 1-33
  42. 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 [doi]
  43. Hsieh, DA, Hedge Fund Replication Strategies: Implications for Investors and Regulators, Financial Stability Review, vol. 10 (2007), pp. 55-66
  44. Fung, W; Hsieh, DA, Will Hedge Funds Regress Towards Index-Like Products?, Journal of Investment Management, vol. 5 no. 2 (2007)  [abs]
  45. 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 [doi]  [abs]
  46. 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 [doi]
  47. Fung, W; Hsieh, DA, Perspectives: Measurement Biases in Hedge Fund Performance Data: An Update, Financial Analysts Journal, vol. 65 no. 3 (June, 2009)
  48. 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 [doi]  [abs]
  49. 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 [doi]  [abs]
  50. 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 [doi]  [abs]
  51. 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 [doi]
  52. Fung, W; Hsieh, D; Naik, N; Teo, M, Hedge fund franchises, Management Science, vol. 67 no. 2 (February, 2021), pp. 1199-1226 [doi]  [abs]

Chapters in Books

  1. 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
  2. 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
  3. 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
  4. 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
  5. 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
  6. 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
  7. 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
  8. Hsieh, DA; Fung, W; Tsatsaronis, K, Do Hedge Funds Disrupt Emerging Markets, in Wharton-Brookings Papers on Financial Services (2000), pp. 377-421
  9. 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
  10. 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
  11. Hsieh, DA, What Can Central Bankers Learn from Hedge Fund Replication Strategies? (January, 2009), pp. 331-347  [abs]
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