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

10

DOWNLOADS
Rank 35,879

SSRN RANKINGS

Top 35,879

in Total Papers Downloads

1,287

SSRN CITATIONS
Rank 38,973

SSRN RANKINGS

Top 38,973

in Total Papers Citations

10

CROSSREF CITATIONS

5

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 525 (53,808)
Citation 1

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 171 (181,907)

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. 2019-014
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 141 (213,872)

Abstract:

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

3.

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 141 (213,872)
Citation 1

Abstract:

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

4.
Downloads 119 (243,815)
Citation 1

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 103 (271,686)
Citation 3

Abstract:

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

Variance Disparity and Market Frictions

FEDS Working Paper No. 2019-059
Number of pages: 56 Posted: 22 Oct 2019
Yang-Ho Park
Board of Governors of the Federal Reserve System
Downloads 16 (587,799)

Abstract:

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VIX derivative, Asymmetric information, Economic uncertainty, Illiquidity, Implied variance

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 72 (336,717)
Citation 4

Abstract:

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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 64 (358,573)
Citation 6

Abstract:

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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 54 (389,733)

Abstract:

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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