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

Dimitri Volchenkov, Abootaleb Shirvani

Research output: Contribution to journalArticle

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 the international sanctions.
Original languageEnglish
Pages (from-to)297-311
JournalAdvances in Taxation
StatePublished - Jul 15 2019

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