Haitao Huang, Liang Peng, and Vincent W. Yao, "Comovements and 
Asymmetric Tail Dependence in State Housing Prices in the US: A 
Nonparametric Approach", Journal of Applied Econometrics, Vol. 34,
No. 5, 2019, pp. 843-849.

The data in this paper are quarterly housing price indexes for four
U.S. states: California, Florida, Nevada and Arizona. They come from
two separate open sources and are zipped in the file hpy-data.zip.

Both data files are ASCII files in DOS format. Unix/Linux users should 
use "unzip -a".

The first dataset is housing_data.csv (7 variables and 136
observations), which contains the quarterly percentage change in
housing prices in the above four states from 1975:Q2 to 2009:Q1. It
was originally used in Zimmer (2012) and is made available at the Review
of Economics and Statistics Dataverse:

   https://dataverse.harvard.edu/dataverse/restat?q=zimmer

See their file readme_housing_data.txt for a detailed description of
the variables.

The second dataset is HPI_AT_state.csv, publicly available from the
Federal Housing Finance Agency website:

   https://www.fhfa.gov/DataTools/Downloads/Documents/HPI/HPI_AT_state.csv

It contains 4 columns: abbreviated state name (all 50 states), year,
quarter and quarterly house price indexes (all-transactions indexes,
not seasonally adjusted). At the time we retrieved the data, the
sample spaned 1975:Q1 - 2017:Q1 (169 observations) for each state. For
our analysis, we retained the data for CA, FL, NV and AZ.

Reference

Zimmer, David M. "The role of copulas in the housing crisis," Review
of Economics and Statistics 94, 2 (2012): 607-620.

Liang Peng
lpeng [AT] gsu.edu