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Martin Pontuschka,Marcelo Scherer Perlin
Pág. 353?374
In this article we seek to verify the dynamics of financial integration between the Brazilian and the Argentinian stock index. We estimate a state space model by Kalman filter, which allowed the observation of the dynamics of the financial integration ov...
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Marcelo Scherer Perlin,Henrique P. Ramos
Pág. 443 - 478
This paper introduces GetHFData, a R package for downloading, importing and aggregating high frequency trading data from the Brazilian financial market. Based on a set of user choices, the package GetHFData will download the required files directly from ...
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Marcelo Scherer Perlin,André Portela Santos
Pág. 162 - 199
This paper analyzes the scientific output of Finance researchers in Brazil. Using a proprietary software to download information directly from the Lattes platform it was possible to verify the profile and the tendencies of research in the area of Finance...
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Fernanda Gomes Victor,Marcelo Scherer Perlin,Mauro Mastella
Pág. 375 - 398
The objective of this work is to study the intraday dynamics of liquidity in the Brazilian stock exchange from the perspective of co-movements (or commonalities). In the study we argue that this common factor in the liquidity of the stocks is affected by...
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