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

Table 11

value for INTE, BANK, and FUND (2016–2019).

	INTE⟶BANK	BANK⟶INTE	BANK⟶FUND	FUND⟶BANK	FUND⟶INTE	INTE⟶FUND
2016	−0.0348	0.0176	0.0639	0.0109	0.0117	0.0020
2017	−0.0367	0.0166	0.0789	−0.0154	−0.0173	−0.0003
2018	−0.0254	0.0161	0.0790	−0.0368	−0.0371	0.0114
2019	−0.0301	−0.0298	0.1307	−0.2434	−0.2515	0.0066
Mean value	−0.0289	0.0050	0.0882	−0.0767	−0.0786	0.0078

Note: ⟶ denotes the direction of risk spillover.