Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach

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A Comparison of Mean-Variance Efficiency Tests (2008, background): “In contrast, we combine (19) with (20) to obtain heterokedasticity robust”
Multivariate Tests of Mean–Variance Efficiency With Possibly Non-Gaussian Errors (2007, methodology): “In particular, Hodgson et al. (2002) reported size problems on high-dimensional systems and restricted their analysis to systems with three or four portfolios, whereas Vorkink (2003) proceeded on a portfolio-by-portfolio basis, not on the whole system.”
A semi-parametric approach to risk management (2003, methodology): “…contoured framework), and integration N H Bingham et al QUANTITATIVE FI N A N C E of our approach with the most closely related recent and contemporary work, namely that of Barndorff-Nielsen et al (1998), Korsholm (2000), Hodgson et al (2002) and BarndorffNielsen and Shephard (2001, 2002).”
Seemingly Unrelated Regressions (2006, background): “For example, in the case of heteroskedasticity, Hodgson, Linton, and Vorkink (2002) propose an adaptive estimator that is efficient under the assumption that the errors follow an elliptical symmetric distribution that includes the normal as a special case.”