Anh Tuan Le

    • 137 Citations
    • 6 h-Index
    20102017
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    • 4 Similar Profiles
    Term structure models Business & Economics
    Finance Business & Economics
    Bond yields Business & Economics
    Factors Business & Economics
    Term structure Business & Economics
    Recursive preferences Business & Economics
    Currency Business & Economics
    Discrete-time Business & Economics

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    Research Output 2010 2017

    • 137 Citations
    • 6 h-Index
    • 7 Article
    20 Citations (Scopus)

    The price of variance risk

    Dew-Becker, I., Giglio, S., Le, A. & Rodriguez, M., Feb 1 2017, In : Journal of Financial Economics. 123, 2, p. 225-250 26 p.

    Research output: Contribution to journalArticle

    Disaster
    Realized variance
    Power utility
    Structural model
    Time-varying
    4 Citations (Scopus)

    Separating the Components of Default Risk: A Derivative-Based Approach

    Le, A., Mar 1 2015, In : Quarterly Journal of Finance. 5, 1, 1550005.

    Research output: Contribution to journalArticle

    Default risk
    Derivatives
    Leverage
    Pricing
    Equity
    19 Citations (Scopus)

    Why do term structures in different currencies co-move?

    Jotikasthira, C., Le, A. & Lundblad, C., Jan 1 2015, In : Journal of Financial Economics. 115, 1, p. 58-83 26 p.

    Research output: Contribution to journalArticle

    Term structure
    Currency
    Macroeconomic shocks
    Yield curve
    Fluctuations
    9 Citations (Scopus)

    Gaussian macro-finance term structure models with lags

    Joslin, S., Le, A. & Singleton, K. J., Sep 1 2013, In : Journal of Financial Econometrics. 11, 4, p. 581-609 29 p., nbt012.

    Research output: Contribution to journalArticle

    Finance
    Lag
    Term structure models
    Factors
    Bond yields
    28 Citations (Scopus)

    Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs

    Joslin, S., Le, A. & Singleton, K. J., Sep 1 2013, In : Journal of Financial Economics. 109, 3, p. 604-622 19 p.

    Research output: Contribution to journalArticle

    Term structure models
    Factors
    Finance
    Risk factors
    Vector autoregression