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

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  • Abootaleb Shirvani
  • Dimitri Volchenkov

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.

Suggested Citation

  • Abootaleb Shirvani & Dimitri Volchenkov, 2019. "A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index," Papers 1911.01826, arXiv.org.
    • Handle: RePEc:arx:papers:1911.01826
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    Cited by:

    1. Abootaleb Shirvani, 2020. "Stock Returns and Roughness Extreme Variations: A New Model for Monitoring 2008 Market Crash and 2015 Flash Crash," Applied Economics and Finance, Redfame publishing, vol. 7(3), pages 78-95, May.
    2. Sima Siami-Namini, 2019. "Agriculture and Non-Agriculture Growth, Inflation and Income Inequality in Developed and Developing Countries," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(11), pages 43-51, November.
    3. Bax, Karoline & Sahin, Özge & Czado, Claudia & Paterlini, Sandra, 2023. "ESG, risk, and (tail) dependence," International Review of Financial Analysis, Elsevier, vol. 87(C).
    4. Safoora Zarei & Ali R. Fallahi, 2019. "Pay-As-You-Drive Insurance Pricing Model," Papers 1912.09273, arXiv.org.
    5. Karoline Bax & Ozge Sahin & Claudia Czado & Sandra Paterlini, 2021. "ESG, Risk, and (Tail) Dependence," Papers 2105.07248, arXiv.org, revised Nov 2021.
    6. Sima Siami-Namini, 2019. "Agriculture and Non-Agriculture Growth, Inflation and Income Inequality in Developed and Developing Countries," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(11), pages 1-43, November.

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