Journal of
Marketing Development and Competitiveness
Scholar Gateway
Abstracts prior to volume 5(1) have been archived!
Issue 5(1), October 2010 -- Paper AbstractsGirard (p. 9-22)
Cooper (p. 23-32)Kunz-Osborne (p. 33-41)Coulmas-Law (p.42-46)Stasio (p. 47-56)Albert-Valette-Florence (p.57-63)Zhang-Rauch (p. 64-70)Alam-Yasin (p. 71-78)Mattare-Monahan-Shah (p. 79-94)Nonis-Hudson-Hunt (p. 95-106) 
JOURNAL OF ACCOUNTING AND FINANCE
A Short and Long-Term Dynamic Dependencies of Main Latin American Stock Indexes and Commodity Prices: A Wavelet Approach
Author(s): Marcel C. Minutolo, Alejandro Sierra, Werner D. Kristjanpoller
Citation: Marcel C. Minutolo, Alejandro Sierra, Werner D. Kristjanpoller, (2018) "A Short and Long-Term Dynamic Dependencies of Main Latin American Stock Indexes and Commodity Prices: A Wavelet Approach", Journal of Accounting and Finance, Vol. 18, ss. 6, pp. 162-178
Article Type: Research paper
Publisher: North American Business Press
Abstract:
Modern portfolio theory seeks to maximize returns and minimize risk through the selection of noncorrelated investment instruments. Investment instruments in the portfolio are, often, non-linear and nonstationary making forecasting of returns difficult. The use of decomposition models has been found to improve the accuracy of predictive models. This paper extends modern portfolio theory by applying wavelet analysis to the Latin American stock markets in various time horizons as investment vehicles in a portfolio along with major commodity markets. The main findings reveal that different commodities are needed in the portfolio depending on the time horizon and market.
