Yang-Ho Park

Board of Governors of the Federal Reserve System

Principal Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 33,709

SSRN RANKINGS

Top 33,709

in Total Papers Downloads

2,853

SSRN CITATIONS
Rank 20,250

SSRN RANKINGS

Top 20,250

in Total Papers Citations

58

CROSSREF CITATIONS

8

Scholarly Papers (14)

1.
Downloads 1,089 (38,568)
Citation 12

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 806 (57,648)
Citation 3

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 283 (201,341)
Citation 1

Abstract:

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

2.

Inferring Term Rates from Sofr Futures Prices

FEDS Working Paper No. 2019-14
Number of pages: 25 Posted: 14 Mar 2019
Erik Heitfield and Yang-Ho Park
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 783 (60,915)
Citation 1

Abstract:

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3.
Downloads 242 (236,770)
Citation 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 141 (382,544)
Citation 5

Abstract:

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

Variance Disparity and Market Frictions

FEDS Working Paper No. 2019-59
Number of pages: 56 Posted: 22 Oct 2019
Yang-Ho Park
Board of Governors of the Federal Reserve System
Downloads 101 (493,613)
Citation 2

Abstract:

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4.

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 187 (300,737)
Citation 2

Abstract:

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

5.

Information in Yield Spread Trades

FEDS Working Paper No. 2019-25
Number of pages: 39 Posted: 14 Apr 2019
Yang-Ho Park
Board of Governors of the Federal Reserve System
Downloads 141 (381,914)

Abstract:

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6.

Informed Trading in Foreign Exchange Futures: Payroll News Timing

Journal of Banking and Finance, Forthcoming
Number of pages: 66 Posted: 14 Dec 2021
Yang-Ho Park
Board of Governors of the Federal Reserve System
Downloads 112 (455,160)

Abstract:

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foreign exchange, informed trading, macroeconomic announcements, futures market, U.S. dollar

7.

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 111 (458,183)
Citation 8

Abstract:

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

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

FEDS Working Paper No. 2015-71
Posted: 09 Jul 2021
Yang-Ho Park
Board of Governors of the Federal Reserve System

Abstract:

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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 109 (466,950)
Citation 12

Abstract:

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

9.

Spread position as a leading economic indicator

Journal of Financial Markets, Forthcoming
Number of pages: 64 Posted: 14 Dec 2021
Yang-Ho Park
Board of Governors of the Federal Reserve System
Downloads 79 (571,454)
Citation 2

Abstract:

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business cycle, yield curve, Treasury future, macroeconomic announcement, informed trading

10.

Volatility of Volatility and Tail Risk Premiums

FEDS Working Paper No. 2013-54
Posted: 09 Jul 2021
Yang-Ho Park
Board of Governors of the Federal Reserve System

Abstract:

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11.

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

FEDS Working Paper No. 2014-86
Posted: 09 Jul 2021 Last Revised: 02 Jul 2021
Nicole Abruzzo and Yang-Ho Park
affiliation not provided to SSRN and Board of Governors of the Federal Reserve System

Abstract:

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

12.

Indicative Forward-Looking Sofr Term Rates

FEDS Notes No. 2019-04-19-1
Posted: 22 Apr 2019 Last Revised: 25 Jun 2020
Erik Heitfield and Yang-Ho Park
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

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13.

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

14.

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