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

• Tác giả: Abootaleb Shirvani, Dimitri Volchenkov
• Ngôn ngữ: eng
• Ký hiệu phân loại: 780.955 Music
• Thông tin xuất bản: 2019
• Bộ sưu tập: Metadata
• ID: 163574

Tóm tắt

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.