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. 
 
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.

PUBLICATIONS

1. Mixed Frequency Macro-Finance Factor Models: Theory and Applications   (working paper version) (published version link) 
 with E. AndreouP. Gagliardini and E. Ghysels.
Journal of Financial Econometrics (2020), Vol. 18, Issue 3, p. 585–628 

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

3. Inference in Group Factor Models with an Application to Mixed Frequency Data  ( download paper ) ( download Online Appendix) 
with E. AndreouP. Gagliardini and E. Ghysels.
Econometrica (2019), Vol. 87, Issue 4, p. 1267 - 1305 
former title: "Is Industrial Production Still the Dominant Factor for the US Economy?"

4. 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


WORKING PAPERS and WORK IN PROGRESS

1. Equity Tail Risk in the Treasury Bond Market (NEW VERSION, 12 October 2020) (download paper)
with D. Ruzzi.
former title: "The Impact of Equity Tail Risk on Bond Risk Premia: Evidence of Flight-to-Safety in the US Term Structure" 

2. Measuring Systematic Correlation with Approximate Threshold Group-Factor Models (2020)
 with D. Massacci, and D. Ruzzi.
This version: coming soon 

3. Common Factors and Regime Shifts in Stock and Bond Comovement (2020)
 with D. Massacci, and D. Ruzzi.
This version: coming soon 
former title: "Changes in Comovements between Stocks and Bonds: Evidence from a New Class of Large Dimensional Threshold Group-Factor Models

4. On the predictive Content of Big Data and Small Models (2018)
 
with X. AnP. Gagliardini and E. Ghysels.
 
5. Mixed Frequency Large-Scale Factor Models: Are Main Street and Wall Street Driven by the Same Factors? (2018)
 with E. AndreouP. Gagliardini and E. Ghysels.