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 international sanctions.
- Publication:
-
arXiv e-prints
- Pub Date:
- November 2019
- DOI:
- 10.48550/arXiv.1911.01826
- arXiv:
- arXiv:1911.01826
- Bibcode:
- 2019arXiv191101826S
- Keywords:
-
- Quantitative Finance - Statistical Finance;
- Economics - General Economics
- E-Print:
- Journal of Vibration Testing and System Dynamics, Vol. 3(2), 297-311 (2019)