Julián Ricardo Siri

University of CEMA

1054 Buenos Aires

Argentina

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 28,024

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Top 28,024

in Total Papers Downloads

3,452

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Scholarly Papers (8)

1.

Risk On-Risk Off: A Regime Switching Model for Active Portfolio Management

Serie Documentos de Trabajo - Nro. 706, 2019
Number of pages: 13 Posted: 16 Jan 2020
José P Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 1,031 (41,636)

Abstract:

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regime switching, active investment, two fund separation, excess returns, hidden markov model, VIX

2.

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: 22 Sep 2022
José P Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 803 (58,711)
Citation 1

Abstract:

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

3.

Index Options Realized Returns Distributions from Passive Investment Strategies

Serie Documentos de Trabajo, No. 580
Number of pages: 37 Posted: 19 Feb 2016
José P Dapena and Julián Ricardo Siri
University of CEMA and University of CEMA
Downloads 456 (120,057)
Citation 4

Abstract:

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Ex post returns, distribution, realized returns, option pricing

4.

Decomposing the VIX Index into Greed and Fear

Serie Documentos de Trabajo - Nro. 780 (2021)
Number of pages: 14 Posted: 07 Apr 2021
Juan A. Serur, José P Dapena and Julián Ricardo Siri
NYU - Courant Institute of Mathematical Sciences, University of CEMA and University of CEMA
Downloads 319 (178,459)

Abstract:

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VIX, Volatility, Greed-Fear index, Variance Swap

5.

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 P Dapena
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 311 (183,231)

Abstract:

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

6.

A Model Free Approach to the Pricing of Downside Risk in Argentinean Stocks

Serie Documentos de Trabajo, Nro. 703, 2019
Number of pages: 16 Posted: 23 Dec 2019 Last Revised: 03 May 2023
José P Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 230 (248,313)

Abstract:

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Asset Pricing, Options-pricing, Insurance, Capital Markets

7.

Unraveling the Value Premium: A Reward for Risk or Mispricing?

Serie Documentos de Trabajo, Nro. 704, 2019
Number of pages: 29 Posted: 23 Dec 2019
Claudio E. Serur, Julián Ricardo Siri, Juan A. Serur and José P Dapena
affiliation not provided to SSRN, University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 159 (345,920)

Abstract:

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Factor Investing, Factor Models, Quality Factor, Excess Returns, Value Investing

8.

Testing Excess Returns from Passive Options Investment Strategies

Serie Documentos de Trabajo Nro. 605
Number of pages: 13 Posted: 18 Jul 2017
José P Dapena and Julián Ricardo Siri
University of CEMA and University of CEMA
Downloads 143 (377,269)
Citation 3

Abstract:

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