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.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.