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

Journal of Vibration testing and System Dynamic, 3 (3) pp. 297-311 | DOI: 10.5890/JVTSD.2019.09.004.

Posted: 7 Nov 2019

See all articles by Abootaleb Shirvani

Abootaleb Shirvani

Texas Tech University - Department of Mathematics and Statistics

Dimitri Volchenkov

affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Date Written: September 1, 2019

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.

Keywords: Financial Econometrics; Tehran Stock Exchange; Regulated markets; Tail Dependence

JEL Classification: G15, C01, C58

Suggested Citation

Shirvani, Abootaleb and Volchenkov, Dimitri, A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index (September 1, 2019). Journal of Vibration testing and System Dynamic, 3 (3) pp. 297-311 | DOI: 10.5890/JVTSD.2019.09.004.. Available at SSRN: https://ssrn.com/abstract=3474097

Abootaleb Shirvani (Contact Author)

Texas Tech University - Department of Mathematics and Statistics ( email )

Lubbock, TX 79409-1042
United States

Dimitri Volchenkov

affiliation not provided to SSRN

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