Comovements and asymmetric tail dependence in state housing prices in the USA: A nonparametric approach
美国各州住房价格的共同变动与非对称尾部依赖：非参数方法
Summary We reexamine the methods used in estimating comovements among US regional home prices and find that there are insufficient moments to ensure a normal limit necessary for employing the quasi‐maximum likelihood estimator. Hence we propose applying the self‐weighted quasi‐maximum exponential likelihood estimator and a bootstrap method to test and account for the asymmetry of comovements as well as different magnitudes across state pairs. Our results reveal interstate…