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Mirco Rubin is Associate Professor of Econometrics at EDHEC Business School in Nice and holds a PhD in Economics with Finance specialization from Università della Svizzera Italiana (Lugano) and the Swiss Finance Institute. 

You can contact Mirco by sending an email to  mirco.rubin@edhec.edu , and download his CV here:

CURRICULUM VITAE

Research

Mirco's research interests are at the intersection of Econometrics, Financial Economics, Macroeconomics, Environmental Economics and Asset Allocation.  He is specialized in the development of new econometric methodologies for large and mixed-frequency dataset.

SSRN personal page Google Scholar page

Working papers

1. Do Public Equities Span Private Equity Returns? (working paper)  

 with E. Ghysels, and O. Gredil

(First posted SSRN on December  2, 2024)

Presentations: Office of Financial Research, Goldman Sachs ISG SQAA

2. Three Common Factors (submitted, working paper) 

 with E. Andreou, P. Gagliardini and E. Ghysels

Presentations: AFA 2023, WFA 2022, ESEM 2022, NASMES 2023, ASMES 2023, SoFiE 2021

3. Time-varying Environmental Alphas, Betas, and Latent Factors in Corporate Bonds  (submitted, working paper, direct download)

 with S. Cardillo, E. Chini and D. Ruzzi

4. New rank-based tests and estimators for Common Dynamic Factors (submitted, working paper) 

 with F. Carlini and P. Vallarino

Presentations: ESEM 2024, ASMES 2023, International Panel Data Conference 2022, EC2 2022, University of Bern, University of Cambridge, University of Amsterdam, University of Rotterdam 

5. Crypto Risk Premia (working paper) 

 with N. Borri, D. Massacci, and D. Ruzzi

6. Time-varying Environmental Betas and Latent Green Factors  (working paper available upon request)

 with E. Chini

7. Seasonality in High Dimensional Data  (working paper coming soon)

 with E. Andreou, P. Gagliardini and E. Ghysels

8. Come Hell or High Water: pricing of water risk in the cross section of stock returns  

 with  I. Popescu and O. Karakas

9. State-Dependent Comovement between Factor Models  (submitted, working paper)

 with D. Massacci and D. Ruzzi

previous title:  Systematic Comovement in Threshold Group-Factor Models

10. Do Volatility-Managed Portfolios Work Better for Convertible Bonds? (working paper) 

 with P. Schweigl

11. Equity Tail Risk in the Treasury Bond Market (working paper)

with D. Ruzzi

Work in progress

1. Testing for multiple and repeated structural breaks in panel data

2. Testing for spurious common factors in large non-stationary panels 

Publications

1. Green Window Dressing ( working paper)  (Non-technical summary from VOX EU)

 with G. Parise 

Journal of Finance (2025), forthcoming 

2. Inference in Group Factor Models with an Application to Mixed Frequency Data ( paper ) ( Online Appendix: Supplementary Material) 

(Matlab replication files: see Econonometrica Supplemenaty material, freely available)

with E. Andreou, P. Gagliardini and E. Ghysels.

Econometrica (2019), Vol. 87, Issue 4, p. 1267 - 1305 

3. Spanning Latent and Observable Factors (published version link, working paper ) 

 with E. Andreou, P. Gagliardini and E. Ghysels

Journal of Econometrics (2025), Vol. 248,  March 2025

4. On the Resilience of ESG Firms during the COVID-19 crisis: Evidence across Countries and Asset Classes  (published version link )

 with M. van Dijk, G. Gianfrate and D. Ruzzi

Journal of International Business Studies (2024), Vol. 55, Issue 8, p. 1069-1084

5. Are SRI Funds Financing Carbon Emissions? An Input-Output Life Cycle Assessment of Investment Funds (published version link , free download) 

 with I. Popescu, T. Gibon, C. Hitaj , and E. Benetto

Ecological Economics (2023), Vol. 212, Issue October 2023 

6. Mixed Frequency Macro-Finance Factor Models: Theory and Applications (published version link) 

 with E. Andreou, P. Gagliardini and E. Ghysels.

Journal of Financial Econometrics (2020), Vol. 18, Issue 3, p. 585–628 

7. Positional Portfolio Management  (published version link)   (Online Appendix)

with P. Gagliardini and C. Gourieroux.

Journal of Financial Econometrics (2021), Vol. 19, Issue 4  

8. Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models ( paper )

with P. Gagliardini and E. Ghysels.

Journal of Financial Econometrics (2017), Vol. 15, Issue 4, p. 509–560

Research grants

1. Luxembourg National Research Fund (FNR), 699,000 Euros grant for project  “Life Cycle Assessment of Green Funds” (2020 -2024) 

Mirco was  was one of the four investigators for the grand and co-supervisor of funded PhD student, together with three other investigators from the Luxemburg Insituteof Technology (LIST) and the University of Luxembourg.