Anh Le

University of North Carolina Kenan-Flagler Business School

Assistant Professor of Finance

McColl Building

Chapel Hill, NC 27599-3490

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 26,711

SSRN RANKINGS

Top 26,711

in Total Papers Downloads

1,323

CITATIONS
Rank 28,832

SSRN RANKINGS

Top 28,832

in Total Papers Citations

8

Scholarly Papers (6)

1.
Downloads 321 ( 73,800)

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, University of Chicago - Booth School of Business, University of North Carolina Kenan-Flagler Business School and Federal Reserve Board
Downloads 309 (76,466)

Abstract:

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
Kellogg School of Management - Department of Finance, University of Chicago - Booth School of Business, University of North Carolina Kenan-Flagler Business School and Federal Reserve Board
Downloads 12 (489,984)
  • Add to Cart

Abstract:

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) - Edwin L. Cox School of Business, University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 221 (80,424)
Citation 1

Abstract:

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, University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 178 (100,373)

Abstract:

bond risk premium, stochastic volatility, term structure models

4.

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

Number of pages: 38 Posted: 18 Mar 2011
University of Southern California, University of North Carolina Kenan-Flagler Business School and Stanford University - Graduate School of Business
Downloads 159 (136,586)
Citation 7

Abstract:

No-Arbitrage, Gaussian Macro-Finance Term Structure Models

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
University of North Carolina Kenan-Flagler Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 156 (123,027)

Abstract:

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

6.

Tractable Term Structure Models and the Zero Lower Bound

Number of pages: 48 Posted: 22 Nov 2015 Last Revised: 01 Dec 2015
Bank of Canada, Bank of Canada, University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 0 (229,585)

Abstract:

Term Structure, Zero Lower Bound, Stochastic Dominance, No-arbitrage