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

Abootaleb Shirvani and Dimitri Volchenkov

Papers from arXiv.org

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.

New Economics Papers: this item is included in nep-ene and nep-rmg
Date: 2019-11
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Published in Journal of Vibration Testing and System Dynamics, Vol. 3(2), 297-311 (2019)

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