Julián Ricardo Siri

University of CEMA

1054 Buenos Aires

Argentina

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 40,758

SSRN RANKINGS

Top 40,758

in Total Papers Downloads

1,432

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Scholarly Papers (8)

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 P Dapena and Julián Ricardo Siri
University of CEMA and University of CEMA
Downloads 362 (103,346)
Citation 4

Abstract:

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Ex post returns, distribution, realized returns, option pricing

2.

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 279 (136,865)

Abstract:

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

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 P Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 259 (147,688)
Citation 1

Abstract:

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

4.

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 216 (176,014)

Abstract:

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

5.

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
José P Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 109 (307,814)

Abstract:

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Asset Pricing, Options-pricing, Insurance, Capital Markets

6.

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 98 (330,408)
Citation 3

Abstract:

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

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 61 (433,515)

Abstract:

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

8.

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 48 (482,926)

Abstract:

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VIX, Volatility, Greed-Fear index, Variance Swap