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Estimation of Stochastic Volatility Models with Diagnostics

Gallant, A. Ronald; Hsieh, David; Tauchen, George - Duke University, Department of Economics - 1995

Efficient Method of Moments (EMM) is used to fit the standard stochastic volatility model and various extensions to several daily financial time series. EMM matches to the score of a model determined by data analysis called the score generator. Discrepancies reveal characteristics of data that...

Persistent link: https://www.econbiz.de/10005439813

Funds of hedge funds: performance, risk and capital formation 2005 to 2010

Edelman, Daniel; Fung, William; Hsieh, David; Naik, Narayan - In: Financial Markets and Portfolio Management 26 (2012) 1, pp. 87-108

Persistent link: https://www.econbiz.de/10010863283

Estimation of stochastic volatility models with diagnostics

Gallant, A. Ronald; Hsieh, David; Tauchen, George - In: Journal of Econometrics 81 (1997) 1, pp. 159-192

Persistent link: https://www.econbiz.de/10005052864

Choice of Inventory Accounting Methods: A Ricardian Model

Lee, Chi-Wen Jevons; Hsieh, David - Rodney L. White Center for Financial Research, Wharton …

Persistent link: https://www.econbiz.de/10005657246

Choice of Inventory Accounting Methods: A Ricardian Model

Lee, Chi-Wen Jevons; Hsieh, David - Rodney L. White Center for Financial Research, Wharton …

Persistent link: https://www.econbiz.de/10005657254

The determination of the real exchange rate : The productivity approach

Hsieh, David A. - In: Journal of International Economics 12 (1982) 3-4, pp. 355-362

Persistent link: https://www.econbiz.de/10005527542

Using non-linear methods to search for risk premia in currency futures

Hsieh, David A. - In: Journal of International Economics 35 (1993) 1-2, pp. 113-132

Persistent link: https://www.econbiz.de/10005531258

Tests of rational expectations and no risk premium in forward exchange markets

Hsieh, David A. - In: Journal of International Economics 17 (1984) 1-2, pp. 173-184

Persistent link: https://www.econbiz.de/10005532017

The statistical properties of daily foreign exchange rates: 1974-1983

Hsieh, David A. - In: Journal of International Economics 24 (1988) 1-2, pp. 129-145

Persistent link: https://www.econbiz.de/10005540328

An exploratory investigation of the firm size effect

Chan, K. C.; Chen, Nai-fu; Hsieh, David A. - In: Journal of Financial Economics 14 (1985) 3, pp. 451-471

Persistent link: https://www.econbiz.de/10005376929