User profiles for D. A. Hsieh
David Arthur HsiehProfessor of Finance, Fuqual School of Business, Duke University Verified email at duke.edu Cited by 19937 |
Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases
W Fung, DA Hsieh - Journal of Financial and Quantitative analysis, 2000 - cambridge.org
… This paper updates the results of Fung and Hsieh (1997b) by adding two more years of
data. Between 1989 and 1997, the observable portfolio returned, on average, 15.5% per year, …
data. Between 1989 and 1997, the observable portfolio returned, on average, 15.5% per year, …
Chaos and nonlinear dynamics: application to financial markets
DA Hsieh - The journal of finance, 1991 - Wiley Online Library
After the stock market crash of October 19, 1987, interest in nonlinear dynamics, especially
deterministic chaotic dynamics, has increased in both the financial press and the academic …
deterministic chaotic dynamics, has increased in both the financial press and the academic …
[BOOK][B] Nonlinear dynamics, chaos, and instability: statistical theory and economic evidence
… By providing a unified and complete explanation of new statistical methods that are useful
for testing for chaos in data sets, Brock, Hsieh, and LeBaron show how the principles of chaos …
for testing for chaos in data sets, Brock, Hsieh, and LeBaron show how the principles of chaos …
The risk in hedge fund strategies: Theory and evidence from trend followers
W Fung, DA Hsieh - The review of financial studies, 2001 - academic.oup.com
Hedge fund strategies typically generate option-like returns. Linear-factor models using
benchmark asset indices have difficulty explaining them. Following the suggestions in Glosten …
benchmark asset indices have difficulty explaining them. Following the suggestions in Glosten …
Empirical characteristics of dynamic trading strategies: The case of hedge funds
W Fung, DA Hsieh - The review of financial studies, 1997 - academic.oup.com
This article presents some new results on an unexplored dataset on hedge fund performance.
The results indicate that hedge funds follow strategies that are dramatically different from …
The results indicate that hedge funds follow strategies that are dramatically different from …
Hedge fund benchmarks: A risk-based approach
W Fung, DA Hsieh - Financial Analysts Journal, 2004 - Taylor & Francis
… Hsieh (1997b), we extracted a common return component from trend-following funds. In Fung
and Hsieh … Subsequently, we showed (Fung and Hsieh 2002a) that this analysis continued …
and Hsieh … Subsequently, we showed (Fung and Hsieh 2002a) that this analysis continued …
Modeling heteroscedasticity in daily foreign-exchange rates
DA Hsieh - Journal of Business & Economic Statistics, 1989 - Taylor & Francis
This article estimates autoregressive conditionally heteroscedastic (ARCH) and generalized
ARCH (GARCH) models for five foreign currencies, using 10 years of daily data, a variety of …
ARCH (GARCH) models for five foreign currencies, using 10 years of daily data, a variety of …
Testing for nonlinear dependence in daily foreign exchange rates
DA Hsieh - Journal of Business, 1989 - JSTOR
… Hsieh, DA 1987. Modeling heteroskedasticity in daily foreign … Hsieh, DA 1988a. The statistical
properties of daily foreign exchange rates… Hsieh, DA 1988b. A nonlinear stochastic rational …
properties of daily foreign exchange rates… Hsieh, DA 1988b. A nonlinear stochastic rational …
An exploratory investigation of the firm size effect
KC Chan, N Chen, DA Hsieh - Journal of Financial Economics, 1985 - Elsevier
We investigate the firm size effect for the period 1958 to 1977 in the framework of a multi-factor
pricing model. The risk-adjusted difference in returns between the top five percent and the …
pricing model. The risk-adjusted difference in returns between the top five percent and the …
The statistical properties of daily foreign exchange rates: 1974–1983
DA Hsieh - Journal of international economics, 1988 - Elsevier
This paper examines the statistical properties of daily rates of change of five foreign
currencies from 1974 to 1983. The main purpose is to discriminate between two competing …
currencies from 1974 to 1983. The main purpose is to discriminate between two competing …