Mirco Rubin

EDHEC Business School

Associate Professor of Econometrics

393 Promenade des Anglais

Nice, 06200

France

SCHOLARLY PAPERS

8

DOWNLOADS

2,606

SSRN CITATIONS

132

CROSSREF CITATIONS

5

Scholarly Papers (8)

1.

Crypto Risk Premia

Number of pages: 61 Posted: 18 Jul 2022
LUISS University - Department of Economics and Finance, King's College London, EDHEC Business School and Bank of Italy
Downloads 492 (87,949)

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cryptocurrency; risk premia; observable factors; latent factors; PCA

2.

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 485 (89,513)
Citation 2

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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 425 (103,606)
Citation 52

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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 (985,281)
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GDP growth, Group Factor models, MIDAS

4.
Downloads 369 (122,980)

Three Common Factors

Number of pages: 125 Posted: 20 Apr 2022
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 369 (122,026)

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Testing common factors, portfolio sorting, factor zoo

Three Common Factors

CEPR Discussion Paper No. DP17225
Number of pages: 128 Posted: 27 May 2022
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
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factor zoo, portfolio sorting, Testing common factors

5.

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 260 (177,806)
Citation 6

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

6.
Downloads 238 (193,928)
Citation 18

Equity Tail Risk in the Treasury Bond Market

Bank of Italy Temi di Discussione (Working Paper) No. 1311
Number of pages: 114 Posted: 14 Apr 2021
Mirco Rubin and Dario Ruzzi
EDHEC Business School and Bank of Italy
Downloads 160 (277,451)
Citation 18

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

Equity Tail Risk in the Treasury Bond Market

Number of pages: 104 Posted: 24 Apr 2018 Last Revised: 14 Nov 2020
Mirco Rubin and Dario Ruzzi
EDHEC Business School and Bank of Italy
Downloads 78 (463,579)

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

7.

Are SRI Funds Financing Carbon Emissions? An Input-Output Life Cycle Assessment of Investment Funds

Number of pages: 32 Posted: 28 Mar 2022 Last Revised: 18 Oct 2022
Luxembourg Institute of Science and Technology (LIST), Luxembourg Institute of Science and Technology (LIST), Luxembourg Institute of Science and Technology (LIST), EDHEC Business School and Luxembourg Institute of Science and Technology (LIST)
Downloads 233 (197,991)

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sustainable finance, sustainable investing, carbon footprint, GHG emissions, input-output analysis, SRI funds

8.

State-Dependent Comovement between Factor Models

Number of pages: 74 Posted: 18 May 2021 Last Revised: 08 Nov 2022
Daniele Massacci, Mirco Rubin and Dario Ruzzi
King's College London, EDHEC Business School and Bank of Italy
Downloads 102 (388,392)

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Comovement, Approximate Factor Model, Groups, Threshold, Portfolio Risk.