Photo of Yang-Ho Park

Yang-Ho Park

Education

  • Ph.D., Finance, University of Colorado, 2011
  • M.S., Financial Mathematics, Florida State University, 2006
  • B.S., Aerospace Engineering, Seoul National University, 1998
Current Research Topics
  • Financial Econometrics
  • Derivatives
  • Principal Economist

    Board of Governors of the Federal Reserve System

    2018 - present
  • Senior Economist

    Board of Governors of the Federal Reserve System

    2014 - 2018
  • Economist

    Board of Governors of the Federal Reserve System

    2011 - 2014
  • Analyst

    KIS Pricing, Seoul, Korea

    2001 - 2004
  • 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

    2015

    35th International Symposium on Forecasting

  • conference

    2015

    18th SGF Conference

  • conference

    2014

    IFSID Conference on Derivatives

  • conference

    2014

    Bank of Canada Conference on Collateral, Liquidity, and Central Bank Operation

  • discussion

    2014

    Bank of Canada Conference on Collateral, Liquidity, and Central Bank Operation

  • conference

    2013

    ECB, BoF, and BoE Conference on OTC Derivatives Reform

  • conference

    2013

    IFSID & Bank of Canada Second Conference on Derivatives

  • conference

    2013

    23rd FDIC Derivatives Securities and Risk Management Conference

  • conference

    2012

    Yonsei University

  • conference

    2011

    Fourth Annual SoFiE Conference

  • seminar

    2011

    Federal Reserve Board

  • seminar

    2011

    Korea University

  • seminar

    2011

    La Trobe University

  • conference

    2014

    ESSEC Extreme Events in Finance

Last update: April 25, 2022