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Research on the Dependence Structure and Risk Spillover of Internet Money Funds Based on C-Vine Copula and Time-Varying t-Copula

Author

Listed:
  • Huizi Ma
  • Lin Lin
  • Han Sun
  • Yue Qu
  • Lei Xie

Abstract

Internet money funds (IMFs) are the most widely involved products in the Internet financial products market. This research utilized the C-vine copula model to study the risk dependence structure of IMFs and then introduces the time-varying t-copula model to analyze the risk spillover of diverse IMFs. The results show the following: (1) The risks of Internet-based IMFs, bank-based IMFs, and fund-based IMFs have obvious dependence structure, and the degree of risk dependence among different categories of IMFs is significantly different. (2) There are risk spillover effects among diverse IMFs, and their risk dependence relationship is characterized by cyclical feature. (3) The risk spillover effect among diverse IMFs is pronounced, and dynamic risk dependence between IMFs is characterized by synchronization.

Suggested Citation

  • Huizi Ma & Lin Lin & Han Sun & Yue Qu & Lei Xie, 2021. "Research on the Dependence Structure and Risk Spillover of Internet Money Funds Based on C-Vine Copula and Time-Varying t-Copula," Complexity, Hindawi, vol. 2021, pages 1-11, August.
    • Handle: RePEc:hin:complx:3941648
    DOI: 10.1155/2021/3941648
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    Cited by:

    1. Hanxiao Wang & Huizi Ma, 2022. "Optimal Investment Portfolios for Internet Money Funds Based on LSTM and La-VaR: Evidence from China," Mathematics, MDPI, vol. 10(16), pages 1-18, August.

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