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arXiv · 1911.01826

A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index

Abootaleb Shirvani·Dimitri Volchenkov
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Abstract

We demonstrate that the tail dependence should always be taken into account as a proxy for systematic risk of loss for investments. We provide the clear statistical evidence of that the structure of investment portfolios on a regulated market should be adjusted to the price of gold. Our finding suggests that the active bartering of oil for goods would prevent collapsing the national market facing international sanctions.

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BibTeXRIS

Abootaleb Shirvani, Dimitri Volchenkov. 2019-11-02. A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index. https://doi.org/10.5890/jvtsd.2019.09.004

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