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 27,072

in Total Papers Downloads

1,660

CITATIONS
Rank 26,983

SSRN RANKINGS

Top 26,983

in Total Papers Citations

9

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
Southern Methodist University (SMU) - Finance Department, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 364 (79,267)
Citation 1

Abstract:

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

2.
Downloads 359 ( 80,535)
Citation 1

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 343 (84,302)
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 16 (552,294)
Citation 1

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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 312 (94,398)

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 273 (108,977)

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, Penn State University Smeal College of Business and Stanford University - Graduate School of Business
Downloads 192 (154,094)
Citation 7

Abstract:

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No-Arbitrage, Gaussian Macro-Finance Term Structure Models

6.

Tractable Term Structure Models

Number of pages: 56 Posted: 22 Nov 2015 Last Revised: 16 Dec 2018
Bank of Canada, Bank of Canada, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 160 (180,979)

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