A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index
Abootaleb Shirvani and
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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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Published in Journal of Vibration Testing and System Dynamics, Vol. 3(2), 297-311 (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1911.01826
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