Mirco Rubin is Associate Professor of Econometrics at EDHEC Busienss School in Nice and holds a PhD in Economics with Finance specialization from Università della Svizzera Italiana (Lugano) and the Swiss Finance Institute. 
Mirco's research interests are at the intersection of Econometrics, Financial Economics, Macroeconomics, and Asset Allocation. 
He is specialized in the development of new econometric methodologies for large and mixed-frequency dataset. 
In his recent papers he employs new latent factor models to 
i) study of comovement among financial and macroeconomic data observed at different frequencies, 
ii) develop asset allocation strategies based on the expected rank, or position, of the portfolio value,
iii) forecast the European GDP exploiting higher frequency predictors and stochastic volatility.


1. Inference in Group Factor Models with an Application to Mixed Frequency Data  paper ) Online Appendix) 
with E. AndreouP. Gagliardini and E. Ghysels.
Econometrica (forthcoming) 
former title: Is Industrial Production Still the Dominant Factor for the US Economy?

2. Positional Portfolio Management  paper )  (Online Appendix)
with P. Gagliardini and C. Gourieroux.
Journal of Financial Econometrics (forthcoming) 

3. 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


1. Mixed Frequency Large-Scale Factor Models: Are Main Street and Wall Street Driven by the Same Factors?
 with E. AndreouP. Gagliardini and E. Ghysels.

This version: coming soon 

2. Changes in Comovements between Stocks and Bonds: 
Evidence from a New Class of Large Dimensional Threshold Group-Factor Models
 with D. Massacci, and D. Ruzzi.

This version: coming soon 

3. On the predictive Content of Big Data and Small Models
 with X. AnP. Gagliardini and E. Ghysels.

This version: coming soon