David A. Hsieh

David A. Hsieh

Professor of Economics

External Address: 
A437 Fuqua Sch of Bus, Durham, NC 27708
Internal Office Address: 
Box 90120, Durham, NC 27708-0120
(919) 660-7779

David A. Hsieh is the Bank of America Professor at the Fuqua School of Business, Duke University. He is a member of the finance area. Professor Hsieh received a B.Sc. from Yale University in 1976 for a double major in Economics and Mathematics, and a Ph.D. in Economics from the Massachusetts Institute of Technology in 1981. He taught at the Graduate School of Business, University of Chicago from 1981 to 1989, after which he joined the Fuqua faculty in 1989. He holds a secondary appointment in the Duke Economics Department.

Professor Hsieh’s research interest is in financial risk management. His current research focuses on the risk and return of hedge funds, with articles appearing in the Journal of Finance, Review of Financial Studies, Journal of Portfolio Management, Journal of Fixed Income, and Financial Analyst Journal. He has presented his research on hedge funds to the Federal Reserve, the International Monetary Fund, the Bank for International Settlements, the Commodities Futures Trading Commission, in addition to academic audiences at universities and conferences. He appeared before the Securities and Exchange Commission in the May 2003 Hedge Fund Roundtable. His earlier work was in statistical modeling of high frequency financial data, especially volatility clustering in stocks, bonds, and currencies.

In 1990, Professor Hsieh won the Smith-Breeden First Prize for the best paper in the Journal of Finance with Nobel Laureate Merton Miller. In 1999, he won the Fischer Black Memorial Foundation’s Robert J. Schwartz Memorial Prize for the best paper on hedge funds with William Fung. In 2002, he received Fuqua’s Bank of America Faculty Award, and the Teaching in Excellence Award from the Duke Cross-Continent Executive MBA Class of 2002. In 2004, he received the Graham and Dodd Award of Excellence from the CFA Institute. He has served as the finance editor of Management Science.


  • Ph.D., Massachusetts Institute of Technology 1981
  • B.S., Yale University 1976

Hsieh, D. A. “Implications of Nonlinear Dynamics for Financial Risk Management.” Journal of Financial and Quantitative Analysis 28, no. 1 (January 1, 1993): 41–64. https://doi.org/10.2307/2331150. Full Text

Hsieh, D. A. “A nonlinear stochastic rational expectations model of exchange rates.” Journal of International Money and Finance 11, no. 3 (January 1, 1992): 235–50. https://doi.org/10.1016/0261-5606(92)90044-X. Full Text

HSIEH, D. A. “Chaos and Nonlinear Dynamics: Application to Financial Markets.” The Journal of Finance 46, no. 5 (January 1, 1991): 1839–77. https://doi.org/10.1111/j.1540-6261.1991.tb04646.x. Full Text

Hsieh, D. A. “Implications of Observed Properties of Daily Exchange Rate Movements.” Journal of International Financial Markets, Institutions & Money 1 (1991): 61–71.

Hsieh, D. A., and W. Fung. “Estimating the Dynamics of Foreign Currency Futures.” Review of Futures Markets (Kent) 10 (1991): 490–514.

HSIEH, D. A., and M. H. MILLER. “Margin Regulation and Stock Market Volatility.” The Journal of Finance 45, no. 1 (January 1, 1990): 3–29. https://doi.org/10.1111/j.1540-6261.1990.tb05078.x. Full Text

Hsieh, D. A. “Modeling heteroscedasticity in daily foreign-exchange rates.” Journal of Business and Economic Statistics 7, no. 3 (January 1, 1989): 307–17. https://doi.org/10.1080/07350015.1989.10509740. Full Text

Hsieh, David A. “Testing for Nonlinear Dependence in Daily Foreign Exchange Rates.” The Journal of Business 62, no. 3 (January 1989): 339–339. https://doi.org/10.1086/296466. Full Text

Hsieh, D. A. “The statistical properties of daily foreign exchange rates: 1974-1983.” Journal of International Economics 24, no. 1–2 (January 1, 1988): 129–45. https://doi.org/10.1016/0022-1996(88)90025-6. Full Text

Hsieh, D. A., and C. F. Manski. “Empirical Regularities in the Deutsche Mark Futures Options.” Advances in Futures and Options Research 3 (1988): 183–208.