Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 19, 2018 erstellt
Description:
We re-examine the methods used in estimating comovements among U.S. 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 AR-GARCH models