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
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Top 28,684

in Total Papers Downloads

1,786

SSRN CITATIONS
Rank 9,470

SSRN RANKINGS

Top 9,470

in Total Papers Citations

57

CROSSREF CITATIONS

63

Scholarly Papers (6)

1.

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
Independent, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 389 (82,682)
Citation 5

Abstract:

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

2.
Downloads 381 ( 84,738)
Citation 41

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 360 (89,782)
Citation 1

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
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 21 (579,264)
Citation 17

Abstract:

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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 337 (97,465)
Citation 4

Abstract:

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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 288 (115,705)
Citation 3

Abstract:

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

5.

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 201 (165,256)
Citation 32

Abstract:

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No-Arbitrage, Gaussian Macro-Finance Term Structure Models

6.

Tractable Term Structure Models

Number of pages: 54 Posted: 22 Nov 2015 Last Revised: 01 Aug 2019
Bank of Canada, Bank of Canada, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 190 (174,024)
Citation 1

Abstract:

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