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Image of Vibration Testing and System Dynamics
ISSN: 2475-4811 (print)
ISSN: 2475-482X (online)
Journal of Vibration Testing and System Dynamics

C. Steve Suh (editor), Pawel Olejnik (editor),

Xianguo Tuo (editor)

Pawel Olejnik (editor)

Lodz University of Technology, Poland

Email: pawel.olejnik@p.lodz.pl

C. Steve Suh (editor)

Texas A&M University, USA

Email: ssuh@tamu.edu

Xiangguo Tuo (editor)

Sichuan University of Science and Engineering, China

Email: tuoxianguo@suse.edu.cn

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

Journal of Vcibration Testing and System Dynamics 3(3) (2019) 297--311 | DOI:10.5890/JVTSD.2019.09.004

Abootaleb Shirvani, Dimitri Volchenkov

Department of Mathematics and Statistics, Texas Tech University, 1108 Memorial Circle, Lubbock, TX 79409, USA

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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.

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