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Cox lived in Hereford and London between 1804 and 1840, returning to Birmingham to live in Harborne. Around 1840, Cox took up oil painting, studying under W. J. Miller. In order to do this, he handed over much of his teaching work to his only son, David Cox Jnr (1809 - 1885). He went on to exhibit two oil paintings at the Royal Academy in 1844. From 1844 until 1856 he spent summers at Bettws-y-Coed in North Wales. His health suffered following a stroke in 1853. In 1855 he was represented by watercolors at the Paris Universal Exhibition.
By 1857 however, his eyesight had deteriorated. An exhibition of his work was arranged in 1858 by the Conversazione Society Hampstead, and in 1859 a retrospective exhibition was held at the German Gallery Bond Street, London. Cox died several months later. He was buried in the churchyard of St Peters, Harborne, Birmingham, under a chestnut tree, alongside his wife Mary.
Several of his works are in Birmingham Museum & Art Gallery, having been donated by Joseph Henry Nettlefold, on the condition it opened on Sunday's. His work can also be seen at the British Museum, the Tate Gallery, and in Manchester, Newcastle, Liverpool, Edinburgh, Oxford and Cambridge. There are two Blue Plaque memorials commemorating him at 116 Greenfield Road, Harborne, Birmingham, and at 34 Foxley Road, London, SW9.
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