A Study of the Dependency Structure of Financial Asset Bubbles Based on the BSADF-Vine Copula

In this paper, the BSADF method is employed to construct the bubble net value sequence of 11 mainstream financial assets, and the characteristics of the bubble-dependent structure are analyzed using the vine copula model. First, we use the BSADF method to measure the bubbles of various financial assets. The results show that since the outbreak of COVID-19, most types of assets have experienced a sharp bubble rise and the longest bubble period due to the Fed’s quantitative easing policy. Furthermore, based on BSADF statistics, we construct a bubble net value series and apply three vine copula models to reveal the tail correlation characteristics of the bubbles. The results show that the R vine copula is most suitable for analyzing the tail dependence structure of the bubbles. Finally, we explore the tail dependence structure between financial assets based on the R vine copula. The results show that the S&P 500 index and international gold price are the pivotal core of the entire bubble transmission structure.