Skip Navigation Links
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


C. Steve Suh (editor)

Texas A&M University, USA


Xiangguo Tuo (editor)

Sichuan University of Science and Engineering, China


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

Download Full Text PDF



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.


  1. [1]  Timothy Alexander Guzman (10 April 2013), New Economic Sanctions on Iran,Washington’s Regime Change Strategy, Global Research, Retrieved 5 May 2013.
  2. [2]  Blanchard, O. and Jordi, G. (2007), The Macroeconomic Effects of Oil Shocks: Why Are the 2000s So Different from 1970s, NBER Working Paper No. 13368.
  3. [3]  Financial Tribune, Iran’s Proven Oil Reserves to Rise by 10 Percent, Thursday March 09 2019. Available at
  4. [4]  Press.TV Iran oil exports top 844mn barrels Wed Jun 16, 2010 4:59PM. Available at
  5. [5]  Pirbasti, N.F. and Tajeddini, M. (2016), Factors Affecting on the Price of Gold on Global Markets and Its Impact on the Price of Gold in Iran Market (Incorporation of Dynamic System Pattern and Econometric), Modern Applied Science, 10(3), Published by Canadian Center of Science and Education.
  6. [6]  Financial Tribune, Economy, Business And Markets (August 04, 2018), Gold Demand at Four- Year High, Available at at-four-year-high
  7. [7]  Historical London Fix Prices. Available at
  8. [8]  The current information about Tehran Stock Exchange is available at
  9. [9]  Hamilton, J.D. (1983), Oil and the macroeconomy since World War II, Journal of Political Economy. 91(2),228-48.
  10. [10]  Kling, J.L. (1985), Oil price shocks and stock market behavior, Journal of Portfolio Management, 12, 34-39.
  11. [11]  Huang, R., Masulis, R., and Stoll, H. (1996), Energy shocks and financial markets, Journal of Futures Markets, 16(1), 1-27.
  12. [12]  Sadorsky, P. (1999), Oil price shocks and stock market activity, Energy Economics, 21, 449-469.
  13. [13]  Cai, J., Cheung, Y.L., and Wong, M.C. (2011), What moves the gold market?, Journal of Future Markets, 21, 257-278
  14. [14]  Baryshevsky, D.V. (2004), “The Interrelation of the Long-Term Gold Yield with the Yields of Another Asset Classes.” from
  15. [15]  Nandha, M. and Faff, R. (2008), Does oil move equity prices? A global view, Energy Economics, 30, 986-997.
  16. [16]  Miller, J.I. and Ratti, R.A. (2009), Crude oil and stock markets: Stability, instability, and bubbles, Energy Economics, 31(4), 559-568.
  17. [17]  Baur, D.G. and Mcdermott, T.K. (2010), Is gold a safe haven? International evidence, Journal of Banking & Finance, 34(8), 1886-1898.
  18. [18]  Batten, J.A., Ciner, C., and Lucey, B.M. (2010), The macroeconomic determinants of volatility in precious metals markets, Resources Policy, 35(2), 65-71.
  19. [19]  Bharn, R. and Nikolovann, B. (2010), Global oil prices, oil industry and equity returns: Russian experience, Scottish Journal of Political Economy, 57(2), 169-186.
  20. [20]  Filis, G., Degiannakis, S., and Floros, C. (2011), Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries, International Review of Financial Analysis, 20(3), 152-164.
  21. [21]  Arouri, M.E.H., Lahiani, A., and Nguyen, D.K. (2011b), Return and volatility transmission between world oil prices and stock markets of the GCC countries, Economic Model, 28, 1815-1825.
  22. [22]  Chang, K.L. (2012). The time-varying and asymmetric dependence between crude oil spot and futures markets: evidence from the mixture copula-based ARJI - GARCH model, Economic Modelling, 29(6), 2298 - 2309.
  23. [23]  Jäschke, S., Siburg, K.F., and Stoimenov, P.A. (2012), Modeling dependence of extreme events in energy markets using tail copulas, J. Energy Markets, 5(4), 63-80.
  24. [24]  Nguyen, C. and Bhatti, M.I. (2012), Copula model dependency between oil prices and stock markets: evidence from China and Vietnam, Journal of International Financial Markets. Institutions and Money, 22, 758-773.
  25. [25]  Aloui, R., Hammoudeh, S., and Nguyen, D.K. (2013), A time-varying copula to oil and stock market dependence: the case of transition economies, Energy Economics, 39, 208-221.
  26. [26]  Mensi, W., Beljid, M., Boubaker, A., and Managi, S. (2013), Correlations and volatility spillovers across commodity and stock markets: linking energies, food, and gold, Econ. Modell, 32, 15-22.
  27. [27]  Silva, P.P., Rebelo, P., amd Afonso, C. (2014), Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference, Economics-The Open-Access, Open-Assessment EJournal, 8(39), 1-27.
  28. [28]  Arouri, M.E.H., Lahiani, A., and Nguyen, D.K. (2014), World gold prices and stock returns in China: insights for hedging and diversification strategies, Econ. Modell., 44, 273-282.
  29. [29]  Zhu, H., Huang, H., Peng, C., and Yang, Y. (2016b), Extreme dependence between crude oil and stock markets in Asia-Pacific regions: Evidence from quantile regression, Economics Discussion Papers, No 2016-46, Kiel Institute for the World Economy.
  30. [30]  Siami-Namini, S. and Hudson, D. (2017). Volatility Spillover Between Oil Prices, Us Dollar Exchange Rates And International Agricultural Commodities Prices. presented at 2017 Annual Meeting, February 2017, Mobile, Alabama 252845, Southern Agricultural Economics Association.
  31. [31]  Trabelsi, N. (2017), Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System, The Journal of Economic Asymmetries, 16, 26-41.
  32. [32]  Hamma, W., Ghorbel, A., and Jarboui, A. (2018), Copula model dependency between oil prices and stock markets: evidence from Tunisia and Egypt, American Journal of Finance and Accounting, 2, 111-150.
  33. [33]  Foster, K.R. and Kharazi, A. (2008), Contrarian and momentum returns on Iran’s Tehran stock exchange, Journal of International Financial Markets Institutions and Money, 18(1), 16-30.
  34. [34]  Najafabadi, A.T.P., Qazvini, M., and Ofoghi, R. (2012), The impact of oil and gold prices shock on Tehran stock exchange: a copula approach, Iran. J. Econ. Stud, 1(2), 23-47
  35. [35]  Shams, S. and Zarshenas, M. (2014), Copula approach for modeling oil and gold prices and exchange rate co-movements in Iran, Int. J. Stat. Appl., 4(3), 172-175.
  36. [36]  Fuller, W.A. (1976), Introduction to Statistical Time Series, New York: John Wiley and Sons.
  37. [37]  Hamilton, J.D. (1994), Time series analysis, Princeton, N.J.: Princeton University Press.
  38. [38]  Sklar, A. (1959), Fonctions de répartition á n-dimensions et leurs marges, Publ. Inst. Statist. Univ. Paris (in French), 8, 229-231.
  39. [39]  Nelsen, R.B. (1999), An Introduction to Copulas, Springer, New York.
  40. [40]  Embrechts, P., McNeil, A.J., and Straumann, D. (1999), Correlation: pitfalls and alternatives, Risk Magazine, 5, 69-71.
  41. [41]  Schmidt, R. and Stadtmüller, U. (2006), Nonparametric estimation of tail dependence, Scandinavian Journal of Statistics, 32(2), 307-335.
  42. [42]  Ljung, G.M. and Box, G.E.P. (1978), On a measure of a lack of fit in time series models, Biometrika, 65(2), 297-303.
  43. [43]  Alexios Ghalanos (2018), Rugarch: Univariate GARCH models, R package version 1.4–0.
  44. [44]  Diebold, F.X., Gunther, T.A., and Tay, A.S. (1998), Evaluating density forecasts, with applications to financial risk management, International Economic Review, 39, 863-883.
  45. [45]  Kolmogorov, A. (1933), Sulla determinazione empirica di una legge di distribuzione, G. Ist. Ital. Attuari, 4, pp. 83-91
  46. [46]  Kosik, P. and Sarkadi, K. (1985), A new goodness-of-fit test, Proc. of 5-th Pannonian Symp. of Math. Stat., Visegrad, Hungary, 20, 267-272.
  47. [47]  Melnik, M. and Pusev, R. (2015), Uniftest: Goodness-of-fit tests for the uniform distribution, R package version 1.1.
  48. [48]  Deheuvels, P. (1979), La fonction de dépendance empirique et ses propriétés. Un test non paramétrique d’indépendance, Acad. Roy. Belg. Bull. Cl. Sci., 65(6), 274-292.
  49. [49]  Genest, C. and Favre, A.-C. (2007), Everything you always wanted to know about copula modeling but were afraid to ask, Journal of Hydrologic Engineering, 12, 347-368.
  50. [50]  Genest, C., Kojadinovic, I., Neslehová, J., and Yan, J. (2011), A goodness-of-fit test for bivariate extremevalue copulas, Bernoulli, 17(1), 253-275.
  51. [51]  Schepsmeier, U., Stoeber, J., Brechmann, E.C., and Graeler, B. (2013), Package VineCopula: Statistical Inference of Vine Copulas, R-Project CRAN Repository.
  52. [52]  Genest, C., Rémillard, B., and Beaudoin, D. (2009), Goodness-of-fit tests for copulas: A review and a power study, Insurance Math. Econom., 44(2), 199-213.
  53. [53]  Genest, C. and Rémillard, B. (2008), Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models, Annales de l’Institut Henri Poincaré - Probabilités et Statistique, 44(6), 1096-1127.
  54. [54]  Reuters World News, February 9, 2012 / 5:59 AM; “Iran turns to barter for food as sanctions cripple imports” by Valerie Parent, Parisa Hafezi. Available at for-food-as-sanctions-cripple-imports-idUSTRE8180SF20120209
  55. [55], “Iran Looks To Barter Oil As U.S. Sanctions Bite” by Tsvetana Paraskova - Jul 05, 2018, 6:00 PM CDT. Available at Bite.html
  56. [56], “Europe and Iran plot oil-for-goods scheme to bypass US sanctions” by Borzou Daragahi, Wednesday 26 September 2018 21:58; Available at iran-sanctions-trump-nuclear-deal-europe-russia-oil-un-a8556786.html