Mirco Rubin

EDHEC Business School

Associate Professor of Econometrics

393 Promenade des Anglais

Nice, 06200

France

SCHOLARLY PAPERS

5

DOWNLOADS

1,319

SSRN CITATIONS

132

CROSSREF CITATIONS

5

Scholarly Papers (5)

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 449 (82,496)
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 368 (103,004)
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?

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 (823,997)
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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 233 (167,502)
Citation 6

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

4.
Downloads 205 (188,914)
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 137 (267,171)
Citation 18

Abstract:

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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 68 (423,975)

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

5.

Systematic Comovement in Threshold Group-Factor Models

Number of pages: 65 Posted: 18 May 2021
Daniele Massacci, Mirco Rubin and Dario Ruzzi
King's College London, EDHEC Business School and Bank of Italy
Downloads 62 (439,163)

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Comovement, Approximate Factor Model, Groups, Threshold, PCA