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

Abootaleb Shirvani, Dimitri Volchenkov

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-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 languageEnglish
Title of host publicationNonlinear Physical Science
PublisherSpringer Science and Business Media Deutschland GmbH
Pages87-104
Number of pages18
DOIs
StatePublished - 2022

Publication series

NameNonlinear Physical Science
ISSN (Print)1867-8440
ISSN (Electronic)1867-8459

Keywords

  • Financial econometrics
  • Regulated markets
  • Tail dependence
  • Tehran stock exchange

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