Gurrib, Ikhlaas; Kamalov, Firuz - 2021
. Key contributions are in terms of assessing (i) risk and return patterns at specific time periods of the trading session … return, and (iii) the impact of the first vaccination rollout in the U.S. on intraday Exchange-Traded-Funds (ETF) returns. We … return models, and impulse responses to capture the effect of the 2019 novel coronavirus (COVID-19) vaccine rollout in the U …
