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

Dimitri Volchenkov; Abootaleb Shirvani

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

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	297-311
Journal	Advances in Taxation
State	Published - Jul 15 2019

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

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.",

author = "Dimitri Volchenkov and Abootaleb Shirvani",

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language = "English",

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journal = "Advances in Taxation",

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AU - Shirvani, Abootaleb

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N2 - 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.

AB - 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.

M3 - Article

SP - 297

EP - 311

JO - Advances in Taxation

JF - Advances in Taxation

ER -

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

Abstract

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