Anh Le

Penn State University Smeal College of Business

Assistant Professor of Finance

Business Building

University Park, PA 16801

United States

  • Penn State University Smeal College of Business

SCHOLARLY PAPERS

6

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2,168

SSRN CITATIONS
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Top 8,095

in Total Papers Citations

96

CROSSREF CITATIONS

64

Scholarly Papers (6)

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1.

The Price of Variance Risk

Downloads 441 (100,294)
Citation 54

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
Ian Dew-Becker, Stefano Giglio, Anh Le and Marius Rodriguez
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 404 (110,075)
Citation 1

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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: 18 Nov 2022
Ian Dew-Becker, Stefano Giglio, Anh Le and Marius Rodriguez
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 37 (659,994)
Citation 28

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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
Chotibhak Jotikasthira, Anh Le and Christian T. Lundblad
Southern Methodist University (SMU) - Finance Department, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 437 (101,705)
Citation 7

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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
Eric Ghysels, Anh Le, Sunjin Park and Haoxiang Zhu
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 396 (113,701)
Citation 4

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bond risk premium, stochastic volatility, term structure models

4.

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 338 (135,684)
Citation 3

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

5.

Tractable Term-Structure Models

Number of pages: 53 Posted: 22 Nov 2015 Last Revised: 29 Apr 2021
Bruno Feunou, Jean-Sebastien Fontaine, Anh Le and Christian T. Lundblad
Bank of Canada, Bank of Canada, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 336 (137,439)
Citation 1

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

6.

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

Number of pages: 38 Posted: 18 Mar 2011
Scott Joslin, Anh Le and Kenneth J. Singleton
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 220 (209,515)
Citation 39

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No-Arbitrage, Gaussian Macro-Finance Term Structure Models