Meet the Researchers
Yang-Ho Park
[email protected]
Education
- Ph.D., Finance, University of Colorado, 2011
- M.S., Financial Mathematics, Florida State University, 2006
- B.S., Aerospace Engineering, Seoul National University, 1998
- Financial Econometrics
- Derivatives
Principal Economist
Board of Governors of the Federal Reserve System
2018 - presentSenior Economist
Board of Governors of the Federal Reserve System
2014 - 2018Economist
Board of Governors of the Federal Reserve System
2011 - 2014Analyst
KIS Pricing, Seoul, Korea
2001 - 2004
- GARCH option pricing with volatility derivatives
Dong Hwan Oh and Yang-Ho Park
Journal of Banking & Finance (2023)
https://doi.org/10.1016/j.jbankfin.2022.106718 - Spread position as a leading economic indicator
Yang-Ho Park
Journal of Financial Markets (2022)
https://doi.org/10.1016/j.finmar.2021.100681 - Informed trading in foreign exchange futures: Payroll news timing
Yang-Ho Park
Journal of Banking & Finance (2022)
https://doi.org/10.1016/j.jbankfin.2021.106372 - Variance Disparity and Market Frictions
Yang-Ho Park
Journal of Econometrics (2020)
https://doi.org/10.1016/j.jeconom.2019.07.005
See also » FRB Working Paper (2019) - Indicative Forward-Looking SOFR Term Rates
Erik Heitfield and Yang-Ho Park
FEDS Notes (2019)
https://doi.org/10.17016/2380-7172.2347 - Information in Yield Spread Trades
Yang-Ho Park
Finance and Economics Discussion Series (2019)
https://doi.org/10.17016/FEDS.2019.025 - Inferring Term Rates from SOFR Futures Prices
Erik Heitfield and Yang-Ho Park
Finance and Economics Discussion Series (2019)
https://doi.org/10.17016/FEDS.2019.014 - The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives
Yang-Ho Park
Journal of Econometrics (2016)
https://doi.org/10.1016/j.jeconom.2016.01.001
See also » FRB Working Paper (2015) - An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications
Nicole Abruzzo and Yang-Ho Park
Journal of Financial Services Research (2016)
https://doi.org/10.1007/s10693-014-0212-8
See also » FRB Working Paper (2014) - Volatility-of-Volatility and Tail Risk Hedging Returns
Yang-Ho Park
Journal of Financial Markets (2015)
https://doi.org/10.1016/j.finmar.2015.05.003 - Volatility of Volatility and Tail Risk Premiums
Yang-Ho Park
Finance and Economics Discussion Series (2013)
https://doi.org/10.17016/FEDS.2013.54 - Beyond Stochastic Volatility and Jumps in Returns and Volatility
Garland Durham and Yang-Ho Park
Journal of Business & Economic Statistics (2013)
https://doi.org/10.1080/07350015.2013.747800
conference
201535th International Symposium on Forecasting
conference
201518th SGF Conference
conference
2014IFSID Conference on Derivatives
conference
2014Bank of Canada Conference on Collateral, Liquidity, and Central Bank Operation
discussion
2014Bank of Canada Conference on Collateral, Liquidity, and Central Bank Operation
conference
2013ECB, BoF, and BoE Conference on OTC Derivatives Reform
conference
2013IFSID & Bank of Canada Second Conference on Derivatives
conference
201323rd FDIC Derivatives Securities and Risk Management Conference
conference
2012Yonsei University
conference
2011Fourth Annual SoFiE Conference
seminar
2011Federal Reserve Board
seminar
2011Korea University
seminar
2011La Trobe University
conference
2014ESSEC Extreme Events in Finance