Mirco Rubin

EDHEC Business School

Associate Professor of Econometrics

393 Promenade des Anglais

Nice, 06200

France

SCHOLARLY PAPERS

4

DOWNLOADS

1,038

SSRN CITATIONS

65

CROSSREF CITATIONS

7

Scholarly Papers (4)

1.

Positional Portfolio Management

Swiss Finance Institute Research Paper No. 14-20
Number of pages: 83 Posted: 07 Mar 2014 Last Revised: 12 Dec 2018
University of Lugano, University of Toronto - Department of Economics and EDHEC Business School
Downloads 429 (73,052)
Citation 2

Abstract:

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Positional Good, Robust Portfolio Management, Rank, Fund Tournament, Factor Model, Big Data, Equally Weighted Portfolio, Momentum, Reversal, Positional Risk Aversion.

Inference in Group Factor Models with an Application to Mixed Frequency Data

Swiss Finance Institute Research Paper No. 16-11
Number of pages: 48 Posted: 13 Feb 2016 Last Revised: 02 Feb 2019
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 336 (96,170)
Citation 35

Abstract:

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Large Panel, Unobservable pervasive factors, Mixed frequency, Canonical correlations, Output growth

Is Industrial Production Still the Dominant Factor for the US Economy?

CEPR Discussion Paper No. DP12219
Number of pages: 87 Posted: 15 Aug 2017
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 2 (720,466)
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GDP growth, Group Factor models, MIDAS

3.

Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models

Swiss Finance Institute Research Paper No. 16-46
Number of pages: 70 Posted: 12 Jan 2016 Last Revised: 07 Apr 2018
University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 216 (153,146)
Citation 4

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Indirect inference, MIDAS regressions, State space model, Stochastic volatility, GDP forecasting.

4.

Equity Tail Risk in the Treasury Bond Market

Number of pages: 76 Posted: 24 Apr 2018 Last Revised: 26 Jun 2020
Mirco Rubin and Dario Ruzzi
EDHEC Business School and Bank of Italy
Downloads 55 (400,985)

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Bond return predictability, equity tail risk, bond risk premium, flight-to-safety, affine term structure model