Julián Ricardo Siri

University of CEMA

1054 Buenos Aires

Argentina

SCHOLARLY PAPERS

4

DOWNLOADS

675

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Index Options Realized Returns Distributions from Passive Investment Strategies

Serie Documentos de Trabajo, No. 580
Number of pages: 37 Posted: 19 Feb 2016
José Pablo Dapena and Julián Ricardo Siri
University of CEMA and University of CEMA
Downloads 309 (98,013)
Citation 2

Abstract:

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Ex post returns, distribution, realized returns, option pricing

2.

Testing Momentum Effect for the US Market: From Equity to Option Strategies

Serie Documentos de Trabajo, Nro. 621
Number of pages: 45 Posted: 13 Oct 2017
Julián Ricardo Siri, Juan A. Serur and José Pablo Dapena
University of CEMA, University of CEMA and University of CEMA
Downloads 160 (185,299)

Abstract:

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Momentum, four-factor model, asset pricing, option pricing, implied volatility, index options.

3.

Measuring and Trading Volatility on the US Stock Market: A Regime Switching Approach

Serie Documentos de Trabajo - Documento Nro. 659
Number of pages: 27 Posted: 23 Oct 2018 Last Revised: 12 Dec 2018
José Pablo Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, University of CEMA and University of CEMA
Downloads 139 (208,075)

Abstract:

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Realized Volatility, Expected Volatility, Volatility Premium, Regime Switching, Excess Returns, Hidden Markov Model, VIX

4.

Testing Excess Returns from Passive Options Investment Strategies

Serie Documentos de Trabajo Nro. 605
Number of pages: 13 Posted: 18 Jul 2017
José Pablo Dapena and Julián Ricardo Siri
University of CEMA and University of CEMA
Downloads 67 (337,422)
Citation 1

Abstract:

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four factor model, asset pricing, realized returns, option pricing