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Mirco Rubin is Associate Professor at EDHEC Business School in Nice (France), where he currently teaches Financial Econometrics at Master and Ph.D. level. He holds a PhD in Economics with Finance specialization from Università della Svizzera Italiana (Lugano) and the Swiss Finance Institute.

Mirco's research interests lie at the intersection of Econometrics, Financial Economics, Asset Allocation, Environmental Economics/Finance and Macroeconomics. His research appeared in academic journals such as Econometrica, Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of International Business Studies, and the Journal of Econometrics, among others. 

 From Jan 2026 Mirco will serve as Associate Editor at the Journal of Applied Econometrics.

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

CURRICULUM VITAE

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, new version coming soon)

Presentations: Office of Financial Research, Goldman Sachs ISG SQAA, Columbia PE conference, PERC Symposium at Oxford University, Private Market Research Conference at University of Lausanne, Erasmus University Rotterdam,  Bank of Italy, SoFiE Paris 2025, Scuola Normale Superiore at Pisa (Italy), *University of Padova, *TU Munich

2. New rank-based tests and estimators for Common Dynamic Factors (R&R Journal of Econometrics, 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 

3. State-Dependent Comovement between Factor Models  (R&R Journal of Financial Econometrics, working paper)

 with D. Massacci and D. Ruzzi

previous title:  Systematic Comovement in Threshold Group-Factor Models

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

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

6. Crypto Risk Premia (working paper) 

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

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

with D. Ruzzi

*= scheduled presentation

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 (paper, Appendices and Replication Files: open access to paper, online appendix and replication file on the Journal of Finance)  (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. Three Common Factors (working paper) 

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

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

Journal of Financial and Quantitative Analysis  (2025, forthcoming)

4. 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

5. 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

6. 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 

7. 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 

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

with P. Gagliardini and C. Gourieroux.

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

9. 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

Other Publications

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

 with P. Schweigl (former master student at EDHEC, this paper was inspired by Paul's master dissertation which won the best dissertation award from EDHEC Business School in 2021)

Journal of Fixed Income (2025), forthcoming

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.