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

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CITATIONS
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9

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 505 (53,638)

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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 163 (181,280)

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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 138 (209,081)
Citation 1

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

3.

Variance Disparity and Market Frictions

Journal of Econometrics, Forthcoming
Number of pages: 55 Posted: 30 Sep 2015 Last Revised: 09 Aug 2019
Yang-Ho Park
Board of Governors of the Federal Reserve System
Downloads 96 (270,549)
Citation 2

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economic uncertainty; illiquidity; asymmetric information; implied variance; VIX derivative

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 91 (284,005)

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

5.

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 68 (332,525)
Citation 1

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

6.

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 61 (351,654)
Citation 2

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

7.

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 42 (414,260)

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

8.

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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9.

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

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