Comovements and asymmetric tail dependence in state housing prices in the USA: A nonparametric approach
重新审视美国区域房价联动估计方法，发现传统方法矩条件不足，提出自加权拟极大指数似然估计和自助法，揭示州际房价的非对称尾部依赖。
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 asymmetric tail dependence based on observed house price indices rather than residuals from fitting autoregressive–generalized autoregressive conditional heteroskedasticity (AR‐GARCH) models.