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.
