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Hence we propose applying the self\u2010weighted quasi\u2010maximum 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\u2013generalized autoregressive conditional heteroskedasticity (AR\u2010GARCH) models.<\/jats:p>","DOI":"10.1002\/jae.2703","type":"journal-article","created":{"date-parts":[[2019,3,8]],"date-time":"2019-03-08T03:32:22Z","timestamp":1552015942000},"page":"843-849","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Comovements and asymmetric tail dependence in state housing prices in the USA: A nonparametric approach"],"prefix":"10.1002","volume":"34","author":[{"given":"Haitao","family":"Huang","sequence":"first","affiliation":[{"name":"Department of Risk Management and Insurance Georgia State University  Atlanta Georgia"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Liang","family":"Peng","sequence":"additional","affiliation":[{"name":"Department of Risk Management and Insurance Georgia State University  Atlanta Georgia"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Vincent W.","family":"Yao","sequence":"additional","affiliation":[{"name":"Department of Real Estate Georgia State University  Atlanta Georgia"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2019,4,23]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.23.1.3"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2006.11.003"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.3150\/bj\/1066223272"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.3150\/bj\/1093265632"},{"key":"e_1_2_6_6_1","doi-asserted-by":"crossref","unstructured":"Glaeser E. 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