IDEAS home Printed from https://ideas.repec.org/e/pho14.html
   My authors  Follow this author

Douglas James Hodgson

Personal Details

First Name:Douglas
Middle Name:James
Last Name:Hodgson
Suffix:
RePEc Short-ID:pho14
Departement des sciences economiques Universite du Quebec a Montreal Case postale 8888, succursale Centre-Ville Montreal, Quebec, Canada H3C 3P8
514-987-3000 (ext 4310)
Terminal Degree:1995 Economics Department; Yale University (from RePEc Genealogy)

Affiliation

(in no particular order)

Centre de Recherche sur l'Emploi et les Fluctuations Économiques (CREFÉ) (Center for Research on Employment and Economic Fluctuations - CREFE)
École des Sciences de la Gestion (ESG) (Business School)
Université du Québec à Montréal (UQAM) (University of Quebec in Montreal)

Montréal, Canada
http://ideas.uqam.ca/CREFE/
RePEc:edi:crefeca (more details at EDIRC)

Département des Sciences Économiques (Department of Economics)
École des Sciences de la Gestion (ESG) (Business School)
Université du Québec à Montréal (UQAM) (University of Quebec in Montreal)

Montréal, Canada
https://economie.esg.uqam.ca/
RePEc:edi:duqamca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Douglas James Hodgson, 2011. "Age-Price Profiles for Canadian Painters at Auction," CIRANO Working Papers 2011s-15, CIRANO.
  2. Douglas James Hodgson & Aylin Seckin, 2011. "Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis," CIRANO Working Papers 2011s-14, CIRANO.
  3. John W. Galbraith & Douglas James Hodgson, 2009. "Dimension Reduction and Model Averaging for Estimation of Artists' Age-Valuation Profiles," CIRANO Working Papers 2009s-41, CIRANO.
  4. Douglas James Hodgson, 2009. "A Test for the Presence of Central Bank Intervention in the Foreign Exchange Market With an Application to the Bank of Canada," CIRANO Working Papers 2009s-14, CIRANO.
  5. Bryan W. Brown; Douglas J. Hodgson, 2004. "Models of foreign exchange intervention: Estimation and testing," Econometric Society 2004 Australasian Meetings 96, Econometric Society.
  6. Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
  7. Douglas J. Hodgson & Keith Vorkink, 2001. "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers 144, CREFE, Université du Québec à Montréal.
  8. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal.
  9. Hodgson, D.J., 1997. "Semiparametric Efficient Estimation in Time Series," RCER Working Papers 442, University of Rochester - Center for Economic Research (RCER).
  10. Hodgson, D.J., 1996. "Robust Semiparametric Estimation in the Presence of Heterogeneity of Unknown Form," RCER Working Papers 416, University of Rochester - Center for Economic Research (RCER).
  11. Hodgson, D.J., 1995. "Adaptive Estimation of Error Correlation Models," RCER Working Papers 410, University of Rochester - Center for Economic Research (RCER).
  12. Hodgson, D.J., 1995. "Adaptive Estimation of Cointegrating Regressions with ARMA Errors," RCER Working Papers 408, University of Rochester - Center for Economic Research (RCER).
  13. Hodgson, D.J., 1995. "Adaptive Estimation of Cointegrated Models Simulation, Evidence and Application to the Forward Exchange Market," RCER Working Papers 409, University of Rochester - Center for Economic Research (RCER).

Articles

  1. Bryan W. Brown & Douglas J. Hodgson, 2007. "Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 35-48, March.
  2. Douglas Hodgson & Barrett Slade & Keith Vorkink, 2006. "Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 151-168, March.
  3. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 325-353, November.
  4. Douglas Hodgson & Keith Vorkink, 2004. "Asset pricing theory and the valuation of Canadian paintings," Canadian Journal of Economics, Canadian Economics Association, vol. 37(3), pages 629-655, August.
  5. Hodgson, Douglas J & Vorkink, Keith P, 2003. "Efficient Estimation of Conditional Asset-Pricing Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 269-283, April.
  6. Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.
  7. Douglas Hodgson, 2000. "Unconditional pseudo-maximum likelihood and adaptive estimation in the presence of conditional heterogeneity of unknown form," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 175-206.
  8. Hodgson, Douglas J, 1999. "Adaptive Estimation of Cointegrated Models: Simulation Evidence and an Application to the Forward Exchange Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(6), pages 627-650, Nov.-Dec..
  9. Hodgson, Douglas J., 1998. "Adaptive estimation of cointegrating regressions with ARMA errors," Journal of Econometrics, Elsevier, vol. 85(2), pages 231-267, August.
  10. Hodgson, Douglas J., 1998. "Adaptive Estimation Of Error Correction Models," Econometric Theory, Cambridge University Press, vol. 14(1), pages 44-69, February.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Hodgson, Douglas J, 1999. "Adaptive Estimation of Cointegrated Models: Simulation Evidence and an Application to the Forward Exchange Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(6), pages 627-650, Nov.-Dec..

    Mentioned in:

    1. Adaptive estimation of cointegrated models: simulation evidence and an application to the forward exchange market (Journal of Applied Econometrics 1999) in ReplicationWiki ()
  2. Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.

    Mentioned in:

    1. Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach (Journal of Applied Econometrics 2002) in ReplicationWiki ()

Working papers

  1. Douglas James Hodgson, 2011. "Age-Price Profiles for Canadian Painters at Auction," CIRANO Working Papers 2011s-15, CIRANO.

    Cited by:

    1. John Galbraith & Douglas Hodgson, 2015. "Innovation, experience and artists’ age-valuation profiles: evidence from eighteenth-century rococo and neoclassical painters," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 39(3), pages 259-275, August.
    2. Hellmanzik, Christiane, 2016. "Historic art exhibitions and modern - day auction results," Research in Economics, Elsevier, vol. 70(3), pages 421-430.
    3. Hellmanzik, Christiane, 2013. "Democracy and economic outcomes: Evidence from the superstars of modern art," European Journal of Political Economy, Elsevier, vol. 30(C), pages 58-69.
    4. Christiane Hellmanzik, 2009. "Artistic styles: revisiting the analysis of modern artists’ careers," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 33(3), pages 201-232, August.
    5. Hellmanzik, Christiane, 2010. "Location matters: Estimating cluster premiums for prominent modern artists," European Economic Review, Elsevier, vol. 54(2), pages 199-218, February.
    6. Galbraith, John W. & Hodgson, Douglas J., 2012. "Dimension reduction and model averaging for estimation of artists' age-valuation profiles," European Economic Review, Elsevier, vol. 56(3), pages 422-435.
    7. Douglas J. Hodgson & Christiane Hellmanzik, 2019. "Relationships between artistic movements and careers of modern artists: evidence from hedonic regressions with auction data," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 43(2), pages 309-337, June.
    8. Elena Stepanova, 2019. "The impact of color palettes on the prices of paintings," Empirical Economics, Springer, vol. 56(2), pages 755-773, February.
    9. John W. Galbraith & Douglas J. Hodgson, 2018. "Econometric Fine Art Valuation by Combining Hedonic and Repeat-Sales Information," Econometrics, MDPI, vol. 6(3), pages 1-15, June.

  2. Douglas James Hodgson & Aylin Seckin, 2011. "Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis," CIRANO Working Papers 2011s-14, CIRANO.

    Cited by:

    1. Michel Clement & Anke Lepthien & Tim Schulze, 2016. "Erfolgsfaktoren bei der Vermarktung von Kunst [Success Factors for Marketing of Arts]," Schmalenbach Journal of Business Research, Springer, vol. 68(4), pages 377-400, December.
    2. Belma Öztürkkal & Aslı Togan-Eğrican, 2020. "Art investment: hedging or safe haven through financial crises," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 44(3), pages 481-529, September.
    3. Wang, Fang, 2023. "Do emerging art market segments have their own price dynamics? Evidence from the Chinese art market," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 318-331.
    4. Emrah Çevik & Erdal Atukeren & Turhan Korkmaz, 2013. "Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests," Empirical Economics, Springer, vol. 45(2), pages 675-695, October.
    5. Assaf, Ata & Kristoufek, Ladislav & Demir, Ender & Kumar Mitra, Subrata, 2021. "Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    6. Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Emmanuel Kwesi Arthur & Luis Alberiko Gil-Alana, 2023. "The influence of economic policy uncertainty shocks on art market," Applied Economics, Taylor & Francis Journals, vol. 55(29), pages 3404-3421, June.
    7. Demir, Ender & Gozgor, Giray & Sari, Emre, 2018. "Dynamics of the Turkish paintings market: A comprehensive empirical study," Emerging Markets Review, Elsevier, vol. 36(C), pages 180-194.

  3. John W. Galbraith & Douglas James Hodgson, 2009. "Dimension Reduction and Model Averaging for Estimation of Artists' Age-Valuation Profiles," CIRANO Working Papers 2009s-41, CIRANO.

    Cited by:

    1. Charlin, Ventura & Cifuentes, Arturo, 2013. "A new financial metric for the art market," MPRA Paper 50186, University Library of Munich, Germany.
    2. John Galbraith & Douglas Hodgson, 2015. "Innovation, experience and artists’ age-valuation profiles: evidence from eighteenth-century rococo and neoclassical painters," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 39(3), pages 259-275, August.
    3. Hellmanzik, Christiane, 2016. "Historic art exhibitions and modern - day auction results," Research in Economics, Elsevier, vol. 70(3), pages 421-430.
    4. Daiva Jurevičienė & Božena Kostecka, 2014. "Peculiarities of selection of investment artworks," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2014(5), pages 71-88.
    5. Moral-Benito, Enrique, 2010. "Model averaging in economics," MPRA Paper 26047, University Library of Munich, Germany.
    6. Galbraith, John W. & Zinde-Walsh, Victoria, 2020. "Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects," Journal of Econometrics, Elsevier, vol. 218(2), pages 609-632.
    7. John W. Galbraith & Greg Tkacz, 2013. "Nowcasting GDP: Electronic Payments, Data Vintages and the Timing of Data Releases," CIRANO Working Papers 2013s-25, CIRANO.
    8. John W. Galbraith & Douglas J. Hodgson, 2018. "Econometric Fine Art Valuation by Combining Hedonic and Repeat-Sales Information," Econometrics, MDPI, vol. 6(3), pages 1-15, June.
    9. Enrique Moral-Benito, 2015. "Model Averaging In Economics: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 46-75, February.

  4. Douglas J. Hodgson & Keith Vorkink, 2001. "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers 144, CREFE, Université du Québec à Montréal.

    Cited by:

    1. Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012. "Semiparametric inference in a GARCH-in-mean model," Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
    2. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    3. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013. "Sequential estimation of shape parameters in multivariate dynamic models," Journal of Econometrics, Elsevier, vol. 177(2), pages 233-249.
    4. Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
    5. Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Discussion Paper 2015-001, Tilburg University, Center for Economic Research.
    6. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal.
    7. Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers 2005s-03, CIRANO.
    8. Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper series 38_07, Rimini Centre for Economic Analysis.
    9. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 763-782, September.
    10. Vitali Alexeev & Alex Maynard, 2010. "Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks," Working Papers 1001, University of Guelph, Department of Economics and Finance.
    11. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    12. Huffer, Fred W. & Park, Cheolyong, 2007. "A test for elliptical symmetry," Journal of Multivariate Analysis, Elsevier, vol. 98(2), pages 256-281, February.
    13. Dahl Christian M & Iglesias Emma, 2011. "Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-32, February.
    14. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2016. "Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank," Journal of Econometrics, Elsevier, vol. 190(1), pages 46-61.
    15. Hafner, C.M. & Rombouts, J.V.K., 2004. "Semiparametric multivariate volatility models," Econometric Institute Research Papers EI 2004-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    16. Douglas Hodgson & Barrett Slade & Keith Vorkink, 2006. "Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 151-168, March.
    17. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

  5. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal.

    Cited by:

    1. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    2. Sima M. Fortsch & Jeong Hoon Choi & Elena A. Khapalova, 2022. "Competition can help predict sales," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 331-344, March.
    3. Bao, Te & Diks, Cees & Li, Hao, 2018. "A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction," Economic Modelling, Elsevier, vol. 68(C), pages 611-621.
    4. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 325-353, November.
    5. Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Discussion Paper 2015-001, Tilburg University, Center for Economic Research.
    6. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
    7. Taras Bodnar & Yarema Okhrin & Valdemar Vitlinskyy & Taras Zabolotskyy, 2018. "Determination and estimation of risk aversion coefficients," Computational Management Science, Springer, vol. 15(2), pages 297-317, June.
    8. Bodnar, Taras & Reiß, Markus, 2016. "Exact and asymptotic tests on a factor model in low and large dimensions with applications," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 125-151.
    9. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
    10. Sladana Babic & Laetitia Gelbgras & Marc Hallin & Christophe Ley, 2019. "Optimal tests for elliptical symmetry: specified and unspecified location," Working Papers ECARES 2019-26, ULB -- Universite Libre de Bruxelles.
    11. Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers 2005s-03, CIRANO.
    12. Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper series 38_07, Rimini Centre for Economic Analysis.
    13. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 763-782, September.
    14. Hailong Qian & Heather L. Bednarek, 2015. "Partial efficient estimation of SUR models," Economics Bulletin, AccessEcon, vol. 35(1), pages 338-348.
    15. Vitali Alexeev & Alex Maynard, 2010. "Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks," Working Papers 1001, University of Guelph, Department of Economics and Finance.
    16. Asimit, Alexandru V. & Jones, Bruce L., 2007. "Extreme behavior of bivariate elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 53-61, July.
    17. Dawood Ashraf, 2016. "Does Shari’ah Screening Cause Abnormal Returns? Empirical Evidence from Islamic Equity Indices," Journal of Business Ethics, Springer, vol. 134(2), pages 209-228, March.
    18. Vintilă Georgeta & Păunescu Radu Alin, 2015. "Econometric Tests of the CAPM Model for a Portfolio Composed of Companies Listed on Nasdaq and Dow Jones Components," Scientific Annals of Economics and Business, Sciendo, vol. 62(3), pages 453-480, November.
    19. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2016. "Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank," Journal of Econometrics, Elsevier, vol. 190(1), pages 46-61.
    20. Hafner, C.M. & Rombouts, J.V.K., 2004. "Semiparametric multivariate volatility models," Econometric Institute Research Papers EI 2004-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    21. Manuel Galea & David Cademartori & Roberto Curci & Alonso Molina, 2020. "Robust Inference in the Capital Asset Pricing Model Using the Multivariate t -distribution," JRFM, MDPI, vol. 13(6), pages 1-22, June.
    22. Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
    23. Guermat, Cherif & Freeman, Mark C., 2010. "A net beta test of asset pricing models," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 1-9, January.
    24. Sakhanenko, Lyudmila, 2008. "Testing for ellipsoidal symmetry: A comparison study," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 565-581, December.
    25. Danilo Leal & Rodrigo Jiménez & Marco Riquelme & Víctor Leiva, 2023. "Elliptical Capital Asset Pricing Models: Formulation, Diagnostics, Case Study with Chilean Data, and Economic Rationale," Mathematics, MDPI, vol. 11(6), pages 1-27, March.
    26. Hodgson, Douglas J & Vorkink, Keith P, 2003. "Efficient Estimation of Conditional Asset-Pricing Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 269-283, April.
    27. Taras Bodnar & Arjun K. Gupta & Valdemar Vitlinskyi & Taras Zabolotskyy, 2019. "Statistical Inference for the Beta Coefficient," Risks, MDPI, vol. 7(2), pages 1-14, May.
    28. Douglas Hodgson & Barrett Slade & Keith Vorkink, 2006. "Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 151-168, March.
    29. Peremans, Kris & Van Aelst, Stefan, 2018. "Robust inference for seemingly unrelated regression models," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 212-224.
    30. Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.
    31. Zheyuan Zhang & Huiying Wu & Sammy Xiaoyan Ying & Jiaxing You, 2023. "Corporate Innovation and Disclosure Strategy," Abacus, Accounting Foundation, University of Sydney, vol. 59(1), pages 76-133, March.

  6. Hodgson, D.J., 1997. "Semiparametric Efficient Estimation in Time Series," RCER Working Papers 442, University of Rochester - Center for Economic Research (RCER).

    Cited by:

    1. George Halkos & Argyro Zisiadou, 2021. "Can We Hedge an Investment Against A Potential Unexpected Environmental Disaster?," Economics of Disasters and Climate Change, Springer, vol. 5(3), pages 355-365, October.

  7. Hodgson, D.J., 1996. "Robust Semiparametric Estimation in the Presence of Heterogeneity of Unknown Form," RCER Working Papers 416, University of Rochester - Center for Economic Research (RCER).

    Cited by:

    1. Hodgson, Douglas J., 1998. "Adaptive estimation of cointegrating regressions with ARMA errors," Journal of Econometrics, Elsevier, vol. 85(2), pages 231-267, August.

  8. Hodgson, D.J., 1995. "Adaptive Estimation of Error Correlation Models," RCER Working Papers 410, University of Rochester - Center for Economic Research (RCER).

    Cited by:

    1. Marc Hallin & Ramon van den Akker & Bas Werker, 2012. "Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Working Papers ECARES ECARES 2012-042, ULB -- Universite Libre de Bruxelles.
    2. Jushan Bai & Serena Ng, 1998. "A Test for Conditional Symmetry in Time Series Models," Boston College Working Papers in Economics 410, Boston College Department of Economics.
    3. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 325-353, November.
    4. Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Discussion Paper 2015-001, Tilburg University, Center for Economic Research.
    5. Boswijk, H. Peter & Lucas, André & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    6. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute.
    7. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal.
    8. Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
    9. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2016. "Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank," Journal of Econometrics, Elsevier, vol. 190(1), pages 46-61.
    10. Yiguo Sun, 2014. "Semi-Parametric Estimation Of Linear Cointegrating Models With Nonlinear Contemporaneous Endogeneity," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 437-461, August.
    11. Boswijk, H. Peter & Lucas, Andre, 2002. "Semi-nonparametric cointegration testing," Journal of Econometrics, Elsevier, vol. 108(2), pages 253-280, June.
    12. Hodgson, Douglas J., 1998. "Adaptive estimation of cointegrating regressions with ARMA errors," Journal of Econometrics, Elsevier, vol. 85(2), pages 231-267, August.
    13. Dong Wan Shin & Oesook Lee, 2004. "M‐Estimation for regressions with integrated regressors and arma errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 283-299, March.
    14. Alicia Pérez Alonso, 2006. "A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models," Working Papers. Serie AD 2006-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    15. Bai, Jushan & Ng, Serena, 2001. "A consistent test for conditional symmetry in time series models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 225-258, July.
    16. Douglas Hodgson & Barrett Slade & Keith Vorkink, 2006. "Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 151-168, March.

  9. Hodgson, D.J., 1995. "Adaptive Estimation of Cointegrating Regressions with ARMA Errors," RCER Working Papers 408, University of Rochester - Center for Economic Research (RCER).

    Cited by:

    1. Marc Hallin & Ramon van den Akker & Bas Werker, 2012. "Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Working Papers ECARES ECARES 2012-042, ULB -- Universite Libre de Bruxelles.
    2. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 325-353, November.
    3. Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Discussion Paper 2015-001, Tilburg University, Center for Economic Research.
    4. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal.
    5. Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
    6. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2016. "Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank," Journal of Econometrics, Elsevier, vol. 190(1), pages 46-61.
    7. Bo Zhou, 2023. "Semiparametrically Optimal Cointegration Test," Papers 2305.08880, arXiv.org.
    8. Yiguo Sun, 2014. "Semi-Parametric Estimation Of Linear Cointegrating Models With Nonlinear Contemporaneous Endogeneity," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 437-461, August.
    9. Hodgson, Douglas J & Vorkink, Keith P, 2003. "Efficient Estimation of Conditional Asset-Pricing Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 269-283, April.
    10. Wang, Qin & Yao, Weixin, 2012. "An adaptive estimation of MAVE," Journal of Multivariate Analysis, Elsevier, vol. 104(1), pages 88-100, February.
    11. Dong Wan Shin & Oesook Lee, 2004. "M‐Estimation for regressions with integrated regressors and arma errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 283-299, March.
    12. Douglas J. Hodgson & Keith P. Vorkink, 2004. "Asset pricing theory and the valuation of Canadian paintings," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 37(3), pages 629-655, August.
    13. Chen, Yixin & Wang, Qin & Yao, Weixin, 2015. "Adaptive estimation for varying coefficient models," Journal of Multivariate Analysis, Elsevier, vol. 137(C), pages 17-31.

  10. Hodgson, D.J., 1995. "Adaptive Estimation of Cointegrated Models Simulation, Evidence and Application to the Forward Exchange Market," RCER Working Papers 409, University of Rochester - Center for Economic Research (RCER).

    Cited by:

    1. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 325-353, November.
    2. Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
    3. Yiguo Sun, 2014. "Semi-Parametric Estimation Of Linear Cointegrating Models With Nonlinear Contemporaneous Endogeneity," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 437-461, August.
    4. Hodgson, Douglas J., 1998. "Adaptive estimation of cointegrating regressions with ARMA errors," Journal of Econometrics, Elsevier, vol. 85(2), pages 231-267, August.
    5. Douglas J. Hodgson & Keith P. Vorkink, 2004. "Asset pricing theory and the valuation of Canadian paintings," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 37(3), pages 629-655, August.

Articles

  1. Bryan W. Brown & Douglas J. Hodgson, 2007. "Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 35-48, March.

    Cited by:

    1. Vitali Alexeev & Alex Maynard, 2010. "Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks," Working Papers 1001, University of Guelph, Department of Economics and Finance.
    2. Douglas James Hodgson, 2009. "A Test for the Presence of Central Bank Intervention in the Foreign Exchange Market With an Application to the Bank of Canada," CIRANO Working Papers 2009s-14, CIRANO.
    3. Hodgson, Douglas J & Vorkink, Keith P, 2003. "Efficient Estimation of Conditional Asset-Pricing Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 269-283, April.
    4. Jeon, Byung M. & Brown, Bryan, 2001. "Efficient Semiparametric Estimation of Expectations in Dynamic Nonlinear Systems," Working Papers 2001-09, Rice University, Department of Economics.
    5. Joseph Ngatchou-Wandji & Michel Harel, 2013. "A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models," Statistical Inference for Stochastic Processes, Springer, vol. 16(3), pages 207-236, October.
    6. Bryan W. Brown; Douglas J. Hodgson, 2004. "Models of foreign exchange intervention: Estimation and testing," Econometric Society 2004 Australasian Meetings 96, Econometric Society.

  2. Douglas Hodgson & Barrett Slade & Keith Vorkink, 2006. "Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 151-168, March.

    Cited by:

    1. Douglas Hodgson, 2011. "Age–price profiles for Canadian painters at auction," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 35(4), pages 287-308, November.
    2. W. Bowman Cutter & Sofia F. Franco, 2012. "The uneasy case for lower Parking Standards," Nova SBE Working Paper Series wp564, Universidade Nova de Lisboa, Nova School of Business and Economics.
    3. Cutter, W. Bowman & Franco, Sofia F., 2012. "Do parking requirements significantly increase the area dedicated to parking? A test of the effect of parking requirements values in Los Angeles County," Transportation Research Part A: Policy and Practice, Elsevier, vol. 46(6), pages 901-925.
    4. John W. Galbraith & Douglas J. Hodgson, 2018. "Econometric Fine Art Valuation by Combining Hedonic and Repeat-Sales Information," Econometrics, MDPI, vol. 6(3), pages 1-15, June.
    5. Bowman Cutter IV & Autumn DeWoody, 2010. "Parking Externalities in Commercial Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(2), pages 197-223, June.
    6. José-María Montero-Lorenzo & Beatriz Larraz-Iribas & Antonio Páez, 2009. "Estimating commercial property prices: an application of cokriging with housing prices as ancillary information," Journal of Geographical Systems, Springer, vol. 11(4), pages 407-425, December.
    7. Deng, Yongheng & McMillen, Daniel P. & Sing, Tien Foo, 2014. "Matching indices for thinly-traded commercial real estate in Singapore," Regional Science and Urban Economics, Elsevier, vol. 47(C), pages 86-98.

  3. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 325-353, November.

    Cited by:

    1. Dhekra Azouzi & Rohit Vishal Kumar & Chaker Aloui, 2011. "Forward Rate Unbiasedness Hypothesis in the Tunisian Exchange Rate Market," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 1(2), pages 17-44, July.
    2. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
    3. Ioannis N. Kallianiotis, 2021. "Exchange Rate Determination: The Portfolio-Balance Approach," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(1), pages 1-2.
    4. Fu, Hsuan & Luger, Richard, 2022. "Multiple testing of the forward rate unbiasedness hypothesis across currencies," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 232-245.

  4. Douglas Hodgson & Keith Vorkink, 2004. "Asset pricing theory and the valuation of Canadian paintings," Canadian Journal of Economics, Canadian Economics Association, vol. 37(3), pages 629-655, August.

    Cited by:

    1. Douglas Hodgson & Aylin Seçkin, 2012. "Dynamic price dependence of Canadian and international art markets: an empirical analysis," Empirical Economics, Springer, vol. 43(2), pages 867-890, October.
    2. Patrick Georges & Aylin Seçkin, 2013. "Black notes and white noise: a hedonic approach to auction prices of classical music manuscripts," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 37(1), pages 33-60, February.
    3. Dakshina Garfield De Silva & Marina Gertsberg & Georgia Kosmopoulou & Rachel Pownall, 2017. "Dealer Networks in the World of Art," Working Papers 198144199, Lancaster University Management School, Economics Department.
    4. Régis Blazy & Marie Blum, 2022. "Horizontal and vertical differentiation in comic art auctions," Economic Inquiry, Western Economic Association International, vol. 60(3), pages 1382-1415, July.
    5. John Galbraith & Douglas Hodgson, 2015. "Innovation, experience and artists’ age-valuation profiles: evidence from eighteenth-century rococo and neoclassical painters," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 39(3), pages 259-275, August.
    6. Fabian Y.R.P. Bocart & Christian M. Hafner, 2012. "Volatility of price indices for heterogeneous goods," SFB 649 Discussion Papers SFB649DP2012-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    7. Hellmanzik, Christiane, 2016. "Historic art exhibitions and modern - day auction results," Research in Economics, Elsevier, vol. 70(3), pages 421-430.
    8. Richard J. Agnello, 2006. "Do U.S. Paintings Follow the CAPM? Findings Disaggregated by Subject, Artist, and Value of the Work," Working Papers 06-02, University of Delaware, Department of Economics.
    9. Candela, Guido & Castellani, Massimiliano & Pattitoni, Pierpaolo, 2013. "Reconsidering psychic return in art investments," Economics Letters, Elsevier, vol. 118(2), pages 351-354.
    10. Douglas Hodgson, 2011. "Age–price profiles for Canadian painters at auction," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 35(4), pages 287-308, November.
    11. Kraeussl, Roman & Wiehenkamp, Christian, 2010. "A call on Art investments," CFS Working Paper Series 2010/03, Center for Financial Studies (CFS).
    12. De Silva, Dakshina G. & Gertsberg, Marina & Kosmopoulou, Georgia & Pownall, Rachel A.J., 2022. "Evolution of a dealer trading network and its effects on art auction prices," European Economic Review, Elsevier, vol. 144(C).
    13. Richard Agnello & Xiaowen Xu, 2006. "Art Prices and Race: Paintings by African American Artists and Their White Contemporaries," Working Papers 06-06, University of Delaware, Department of Economics.
    14. Belma Öztürkkal & Aslı Togan-Eğrican, 2020. "Art investment: hedging or safe haven through financial crises," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 44(3), pages 481-529, September.
    15. Prieto-Rodriguez, Juan & Vecco, Marilena, 2021. "Reading between the lines in the art market: Lack of transparency and price heterogeneity as an indicator of multiple equilibria," Economic Modelling, Elsevier, vol. 102(C).
    16. Abderazak Bakhouche & Ludovic P.J. Thebault, 2011. "What Determines Cézanne’S Art Pricing? A Hedonic Regression Method," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 58, pages 515-532, november.
    17. Kraeussl, Roman & Logher, Robin, 2010. "Emerging art markets," Emerging Markets Review, Elsevier, vol. 11(4), pages 301-318, December.
    18. Goodness C. Aye & Tsangyao Chang & Wen-Yi Chen & Rangan Gupta & Mark Wohar, 2016. "Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks," Working Papers 201625, University of Pretoria, Department of Economics.
    19. Fabian Bocart & Ken Bastiaensen & Peter Cauwels, 2011. "The 1980s Price Bubble on (Post) Impressionism," ACEI Working Paper Series AWP-03-2011, Association for Cultural Economics International, revised Nov 2011.
    20. Joonwoo Nahm, 2010. "Price determinants and genre effects in the Korean art market: a partial linear analysis of size effect," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 34(4), pages 281-297, November.
    21. Patrick Georges & Aylin Seçkin, 2012. "Auction Prices of Classical Music Manuscripts – A Hedonic Approach," Working Papers 1202E, University of Ottawa, Department of Economics.
    22. Erdős, Péter & Ormos, Mihály, 2012. "Pricing of collectibles: Baedeker guidebooks," Economic Modelling, Elsevier, vol. 29(5), pages 1968-1978.
    23. Bocart, Fabian & Hafner, Christian, 2012. "Econometric analysis of volatile art markets," LIDAM Reprints ISBA 2012020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    24. Galbraith, John W. & Hodgson, Douglas J., 2012. "Dimension reduction and model averaging for estimation of artists' age-valuation profiles," European Economic Review, Elsevier, vol. 56(3), pages 422-435.
    25. Nicoletta MARINELLI & Giulio PALOMBA, 2008. "A Model for Pricing the Italian Contemporary Art Paintings at Auction," Working Papers 316, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    26. Emrah Çevik & Erdal Atukeren & Turhan Korkmaz, 2013. "Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests," Empirical Economics, Springer, vol. 45(2), pages 675-695, October.
    27. Greg Tkacz, 2007. "Gold Prices and Inflation," Staff Working Papers 07-35, Bank of Canada.
    28. Aylin Seckin, 2006. "Art as an Investment under High Inflation: an Empirical Study on Turkish Paintings," EcoMod2006 272100081, EcoMod.
    29. Marie BLUM & Régis BLAZY, 2021. "The three stages of an auction: how do the bid dynamics influence auction prices? Evidence from live art auctions," Working Papers of LaRGE Research Center 2021-10, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    30. Xin Li & Chi-Wei Su & Meng Qin & Fahai Zhao, 2020. "Testing for Bubbles in the Chinese Art Market," SAGE Open, , vol. 10(1), pages 21582440199, January.
    31. Erdal Atukeren & Aylin Seçkin, 2007. "On the valuation of psychic returns to art market investments," Economics Bulletin, AccessEcon, vol. 26(5), pages 1-12.
    32. Federico Etro & Elena Stepanova, 2016. "Art Auctions and Art Investment in the Golden Age of British Painting," LEM Papers Series 2016/34, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    33. Douglas HODGSON & Aylin SECKIN, 2010. "Dynamic Price Dependence of Canadian and World Art Markets: An Empirical Analysis," EcoMod2010 259600074, EcoMod.
    34. John W. Galbraith & Douglas J. Hodgson, 2018. "Econometric Fine Art Valuation by Combining Hedonic and Repeat-Sales Information," Econometrics, MDPI, vol. 6(3), pages 1-15, June.
    35. Kräussl, Roman & Elsland, Niels van, 2008. "Constructing the true art market index: A novel 2-step hedonic approach and its application to the German art market," CFS Working Paper Series 2008/11, Center for Financial Studies (CFS).
    36. Charlin, Ventura & Cifuentes, Arturo, 2017. "On the uncertainty of art market returns," Finance Research Letters, Elsevier, vol. 21(C), pages 186-189.
    37. Shailendra Gurjar & Usha Ananthakumar, 2023. "The economics of art: price determinants and returns on investment in Indian paintings," International Journal of Social Economics, Emerald Group Publishing Limited, vol. 50(6), pages 839-859, January.
    38. Park, Heungju & Ju, Lan & Liang, Tianyu & Tu, Zhiyong, 2017. "Horizon analysis of art investments: Evidence from the Chinese market," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 17-25.
    39. Douglas Hodgson & Barrett Slade & Keith Vorkink, 2006. "Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 151-168, March.
    40. Anna Lucińska, 2015. "The Art Market in the European Union," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 21(1), pages 67-79, March.
    41. Taylor, Dominic & Coleman, Les, 2011. "Price determinants of Aboriginal art, and its role as an alternative asset class," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1519-1529, June.
    42. Erdos, Péter & Ormos, Mihály, 2010. "Random walk theory and the weak-form efficiency of the US art auction prices," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1062-1076, May.

  5. Hodgson, Douglas J & Vorkink, Keith P, 2003. "Efficient Estimation of Conditional Asset-Pricing Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 269-283, April.
    See citations under working paper version above.
  6. Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.
    See citations under working paper version above.
  7. Douglas Hodgson, 2000. "Unconditional pseudo-maximum likelihood and adaptive estimation in the presence of conditional heterogeneity of unknown form," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 175-206.

    Cited by:

    1. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 325-353, November.
    2. Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
    3. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
    4. Douglas Hodgson, 2011. "Age–price profiles for Canadian painters at auction," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 35(4), pages 287-308, November.
    5. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal.
    6. Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper series 38_07, Rimini Centre for Economic Analysis.
    7. Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
    8. Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.

  8. Hodgson, Douglas J, 1999. "Adaptive Estimation of Cointegrated Models: Simulation Evidence and an Application to the Forward Exchange Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(6), pages 627-650, Nov.-Dec..
    See citations under working paper version above.
  9. Hodgson, Douglas J., 1998. "Adaptive estimation of cointegrating regressions with ARMA errors," Journal of Econometrics, Elsevier, vol. 85(2), pages 231-267, August.
    See citations under working paper version above.
  10. Hodgson, Douglas J., 1998. "Adaptive Estimation Of Error Correction Models," Econometric Theory, Cambridge University Press, vol. 14(1), pages 44-69, February.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (5) 2001-10-29 2001-10-29 2002-02-22 2009-05-16 2009-10-03. Author is listed
  2. NEP-CUL: Cultural Economics (3) 2009-10-03 2011-02-12 2011-02-12
  3. NEP-FIN: Finance (3) 2001-07-23 2001-10-29 2001-10-29
  4. NEP-FMK: Financial Markets (2) 2001-10-29 2001-10-29
  5. NEP-IFN: International Finance (2) 2004-10-30 2009-05-16
  6. NEP-CBA: Central Banking (1) 2009-05-16
  7. NEP-CFN: Corporate Finance (1) 2001-11-01
  8. NEP-ETS: Econometric Time Series (1) 2002-02-15
  9. NEP-HIS: Business, Economic and Financial History (1) 2011-02-12
  10. NEP-IND: Industrial Organization (1) 2011-02-12
  11. NEP-MON: Monetary Economics (1) 2009-05-16
  12. NEP-PKE: Post Keynesian Economics (1) 2002-02-15

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Douglas James Hodgson should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.