Comovements and asymmetric tail dependence in state housing prices in the USA: A nonparametric approach (JAE 2019)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Haitao Huang, Liang Peng, Vincent W. Yao Comovements and asymmetric tail dependence in state housing prices in the USA: A nonparametric approach JAE 2019 5 843-9 - -

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
0 - not available online 1 - accessible on journal website 1 - accessible on journal website - - quarterly housing price indexes for four US states, quarterly percentage change in housing prices 1975:Q2-2009:Q1 from Zimmer (2012) and is made available at the Review of Economics and Statistics Dataverse: https://dataverse.harvard.edu/dataverse/restat?q=zimmer, Federal Housing Finance Agency website, https://www.fhfa.gov/DataTools/Downloads/Documents/HPI/HPI_AT_state.csv, 1975:Q1-2017:Q1 California, Florida, Nevada, Arizona, USA -

This article is a replication of

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
David M. Zimmer The Role of Copulas in the Housing Crisis REStat 2012 2 607-20 - - - - - - -

References

DOI: 10.1002/jae.2703 IDEAS: a/wly/japmet/v34y2019i5p843-849.html EconPapers: RePEc:wly:japmet:v:34:y:2019:i:5:p:843-849


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