components: equity exposure, short volatility exposure, and equity timing. This paper applies that attribution methodology to … most of the strategy's risk and return, while the short volatility exposure has the highest Sharpe ratio of the strategy …-managed covered calls may be viewed as a defensive alternative to global equity, providing similar returns with lower volatility and …

This study compares two channels for global impact on local volatility: the direct channel in which global variables … affect the expected value of local volatility but not its persistence, and a new channel in which global variables affect … local volatility by changing its persistence over time. The economic importance of each channel is measured by its …

for each country, and investigates the spillover effects on the country-level stock market idiosyncratic volatility across … on the country-level stock market idiosyncratic volatility. We find that that the effect of developed … idiosyncratic volatility continues when we utilize various economic, financial, and political risk factors as controls, as well as …