Anh Le

Department	Finance
Position	Faculty
PSU profile	https://directory.smeal.psu.edu/aul26
OpenAlex	A5041667430
Works (OpenAlex)	27
Citations	1063
h-index	13
Match confidence	high-v3

Top works

• The price of variance risk (2016) - Journal of Financial Economics - cites: 189
• Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs (2011) - Journal of Financial Economics - cites: 154
• Discrete-Time AffineℚTerm Structure Models with Generalized Market Prices of Risk (2010) - Review of Financial Studies - cites: 145
• Why do term structures in different currencies co-move? (2014) - Journal of Financial Economics - cites: 127
• Carbon risk and corporate investment: A cross-country evidence (2021) - Finance research letters - cites: 115
• The importance of managerial ability on crude oil price uncertainty-firm performance relationship (2020) - Energy Economics - cites: 71
• Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk (2006) - SSRN Electronic Journal - cites: 55
• Separating the Components of Default Risk: A Derivative-Based Approach (2014) - Quarterly Journal of Finance - cites: 46
• An Equilibrium Term Structure Model with Recursive Preferences (2010) - American Economic Review - cites: 25
• Interest Rate Volatility and No-Arbitrage Affine Term Structure Models (2021) - Management Science - cites: 24
• The Price of Variance Risk (2014) - SSRN Electronic Journal - cites: 24
• The Price of Variance Risk (2015) - National Bureau of Economic Research - cites: 20
• Implied Bond Liquidity (2010) - SSRN Electronic Journal - cites: 16
• Tractable Term Structure Models (2022) - Management Science - cites: 12
• Effects of investor tax heterogeneity on stock prices and trading behaviour around the ex‐dividend day: the case of Australia (2019) - Accounting and Finance - cites: 12
• Risk and Return Trade-Off in the U.S. Treasury Market (2014) - SSRN Electronic Journal - cites: 12
• A Robust Analysis of the Risk-Structure of Equilibrium Term Structures of Bond Yields (2012) - SSRN Electronic Journal - cites: 8
• Informed trading around earnings announcements in Australia (2019) - Pacific-Basin Finance Journal - cites: 5
• Risk Premia in Gold Lease Rates (2013) - SSRN Electronic Journal - cites: 4
• Separating the Components of Default Risk:A Derivative-Based Approach (2007) - Faculty Digital Archive (New York University Florence) - cites: 4
• Tractable Term-Structure Models (2015) - SSRN Electronic Journal - cites: 3
• Interest Rate Volatility and No-Arbitrage Term Structure Models (2012) - SSRN Electronic Journal - cites: 2
• Tractable Term-Structure Models and the Zero Lower Bound (2015) - RePEc: Research Papers in Economics - cites: 1
• Risk and Return Trade-o in the U.S. Treasury Market (2014) - - cites: 1
• Tractable Term-Structure Models (2021) - Econstor (Econstor) - cites: 0

Topics