Yang-Ho Park

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 40,803

SSRN RANKINGS

Top 40,803

in Total Papers Downloads

1,015

CITATIONS

1

Scholarly Papers (10)

Volatility-of-Volatility and Tail Risk Hedging Returns

Journal of Financial Markets, Forthcoming
Number of pages: 50 Posted: 22 Mar 2013 Last Revised: 30 Sep 2015
Yang-Ho Park
Board of Governors of the Federal Reserve System
Downloads 498 (53,900)

Abstract:

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Volatility of volatility, tail risk, rare disaster, option returns, risk premiums, and VIX options

Volatility of Volatility and Tail Risk Premiums

FEDS Working Paper No. 2013-54
Number of pages: 52 Posted: 19 Oct 2013
Yang-Ho Park
Board of Governors of the Federal Reserve System
Downloads 159 (183,072)

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Volatility of volatility, tail risk, rare disaster, option returns, risk premiums, VIX options

2.

The Roles of Short-Run and Long-Run Volatility Factors in Options Market: A Term Structure Perspective

Number of pages: 54 Posted: 14 Mar 2011
Yang-Ho Park
Board of Governors of the Federal Reserve System
Downloads 136 (207,730)

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Option Pricing, Stochastic Volatility, Long-Run Volatility, Volatility Smirk, Skewness

3.

The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives

FEDS Working Paper No. 2015-071, http://dx.doi.org/10.17016/FEDS.2015.071
Number of pages: 53 Posted: 21 Sep 2015
Yang-Ho Park
Board of Governors of the Federal Reserve System
Downloads 67 (330,994)
Citation 1

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VIX options, VIX futures, jump-diffusion, stochastic volatility, volatility smile

4.

Inferring Term Rates from Sofr Futures Prices

FEDS Working Paper No. 2019-014
Number of pages: 25 Posted: 14 Mar 2019
Erik Heitfield and Yang-Ho Park
Federal Reserve Board - Division of Research and Statistics and Board of Governors of the Federal Reserve System
Downloads 63 (341,780)

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Interest rates, Futures, Reference rates, Financial contracts, LIBOR, SOFR

5.

An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications

Journal of Financial Services Research, Forthcoming, FEDS Working Paper No. 2014-86
Number of pages: 45 Posted: 08 Nov 2014 Last Revised: 30 Sep 2015
Nicole Abruzzo and Yang-Ho Park
Independent and Board of Governors of the Federal Reserve System
Downloads 60 (350,108)

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Margin, futures, volatility, central counterparties, procyclicality, race to the bottom, Dodd-Frank Act

6.

Information in Yield Spread Trades

FEDS Working Paper No. 2019-025
Number of pages: 39 Posted: 14 Apr 2019
Yang-Ho Park
Board of Governors of the Federal Reserve System
Downloads 32 (453,848)

Abstract:

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Informed trading, Term structure, Business cycle, Pre-FOMC, Macroeconomic announcements

7.

Indicative Forward-Looking SOFR Term Rates

FED Notes No. 2019-04-19
Posted: 22 Apr 2019
Erik Heitfield and Yang-Ho Park
Federal Reserve Board - Division of Research and Statistics and Board of Governors of the Federal Reserve System

Abstract:

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8.

Beyond Stochastic Volatility and Jumps in Returns and Volatility

Journal of Business and Economic Statistics, Vol. 31, No. 1, pp. 107-121, 2013
Posted: 02 Oct 2015
Garland Durham and Yang-Ho Park
Independent and Board of Governors of the Federal Reserve System

Abstract:

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Jump intensity, Leverage effect, Option pricing, Regime switching, return distributions, skewness, stock price dynamics

9.

Price Dislocation and Price Discovery in the S&P 500 Options and VIX Derivatives Markets

Posted: 30 Sep 2015 Last Revised: 20 May 2016
Yang-Ho Park
Board of Governors of the Federal Reserve System

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VIX option; VIX future; variance swap; limit of arbitrage; implied variance; financial crisis; liquidity risk

10.

Improving Return Predictability Using Variance-of-Variance Premiums

Posted: 30 Sep 2015
Yang-Ho Park
Board of Governors of the Federal Reserve System

Abstract:

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return forecasting; risk premiums; VIX derivatives; volatility-of-volatility