Anh Le

Penn State University Smeal College of Business

Assistant Professor of Finance

Business Building

University Park, PA 16801

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 38,883

SSRN RANKINGS

Top 38,883

in Total Papers Downloads

2,449

SSRN CITATIONS
Rank 7,048

SSRN RANKINGS

Top 7,048

in Total Papers Citations

186

CROSSREF CITATIONS

66

Scholarly Papers (6)

1.
Downloads 486 (111,157)
Citation 89

The Price of Variance Risk

Chicago Booth Research Paper No. 15-31, Fama-Miller Working Paper
Number of pages: 74 Posted: 26 Jul 2014 Last Revised: 09 Oct 2015
Kellogg School of Management - Department of Finance, Yale School of Management, Penn State University Smeal College of Business and Board of Governors of the Federal Reserve System
Downloads 424 (129,249)
Citation 2

Abstract:

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variance swaps, volatility pricing, VIX, asset pricing, disasters

The Price of Variance Risk

NBER Working Paper No. w21182
Number of pages: 74 Posted: 18 May 2015 Last Revised: 19 May 2023
Kellogg School of Management - Department of Finance, Yale School of Management, Penn State University Smeal College of Business and Board of Governors of the Federal Reserve System
Downloads 62 (662,655)
Citation 28

Abstract:

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2.

Why Do Term Structures in Different Currencies Comove?

Journal of Financial Economics (JFE), Forthcoming, UNC Kenan-Flagler Research Paper No. 2013-11
Number of pages: 86 Posted: 09 Feb 2012 Last Revised: 18 Feb 2014
Southern Methodist University (SMU) - Finance Department, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 481 (112,550)
Citation 7

Abstract:

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Macro-finance term structure model, interest rates, cross-country comovement

3.

Risk and Return Trade-Off in the U.S. Treasury Market

Number of pages: 41 Posted: 03 Mar 2014
University of North Carolina Kenan-Flagler Business School, Penn State University Smeal College of Business, University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 438 (125,734)
Citation 4

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bond risk premium, stochastic volatility, term structure models

4.

Tractable Term-Structure Models

Management Science 68(11):8411-8429.
Number of pages: 53 Posted: 22 Nov 2015 Last Revised: 11 Jun 2024
Bank of Canada, Bank of Canada, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 436 (126,413)
Citation 4

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Term-Structure, Lower Bound, No-Arbitrage, No-Dominance

5.

Risk Premia in Gold Lease Rates

UNC Kenan-Flagler Research Paper No. 2013-16, Finance Down Under 2014 Building on the Best from the Cellars of Finance
Number of pages: 41 Posted: 20 Mar 2013 Last Revised: 31 Oct 2013
Anh Le and Haoxiang Zhu
Penn State University Smeal College of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 374 (150,480)
Citation 3

Abstract:

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gold lease rates, risk premia, term structure, unspanned risk

6.

Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs

Number of pages: 38 Posted: 18 Mar 2011
University of Southern California - Department of Finance and Business Economics, Penn State University Smeal College of Business and Stanford University - Graduate School of Business
Downloads 234 (244,612)
Citation 39

Abstract:

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No-Arbitrage, Gaussian Macro-Finance Term Structure Models