Yang-Ho Park

Board of Governors of the Federal Reserve System

Principal Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 33,676

SSRN RANKINGS

Top 33,676

in Total Papers Downloads

2,323

SSRN CITATIONS
Rank 22,522

SSRN RANKINGS

Top 22,522

in Total Papers Citations

36

CROSSREF CITATIONS

8

Scholarly Papers (14)

Actions:
Email selected abstracts
1.

Volatility-of-Volatility and Tail Risk Hedging Returns

Downloads 976 (36,699)
Citation 6

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 740 (52,776)
Citation 3

Abstract:

Loading...

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 236 (199,266)
Citation 1

Abstract:

Loading...

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 601 (70,276)
Citation 1

Abstract:

Loading...

3.

Variance Disparity and Market Frictions

Downloads 172 (266,464)
Citation 2

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 125 (345,514)
Citation 3

Abstract:

Loading...

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 47 (613,509)

Abstract:

Loading...

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 164 (277,543)
Citation 2

Abstract:

Loading...

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 100 (402,641)

Abstract:

Loading...

6.

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

Downloads 92 (425,161)
Citation 10

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:

Loading...

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 92 (428,788)
Citation 8

Abstract:

Loading...

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

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 91 (428,163)
Citation 8

Abstract:

Loading...

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

8.

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 77 (472,906)

Abstract:

Loading...

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

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 50 (585,735)

Abstract:

Loading...

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:

Loading...

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:

Loading...

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:

Loading...

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:

Loading...

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:

Loading...

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