Speciality : Econometrics

EDHEC Business School
393/400 Promenade des Anglais - BP3116
06202 Nice cedex 3 - France

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Mirco Rubin holds a Bachelor and two Master Degrees in Economics and Finance from Ca' Foscari University of Venice, Italy and a Doctorate in Finance and Economics from the Swiss Finance Institute and Università della Svizzera Italiana in Lugano, Switzerland. Before joining EDHEC, Mirco was a professor at the University of Bristol, UK. 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. In his recent papers he employs new latent factor models to: i) study of comovement among financial and macroeconomic data observed at different frequencies, ii) develop asset allocation strategies based on the expected rank, or position, of the portfolio value, iii) forecast the European GDP exploiting higher frequency predictors and stochastic volatility.

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Main academic publications

Econometrica (2019), Journal of Financial Econometrics (2017 ; 2019 ; 2020)

Documents to download

CV - Mirco Rubin, PhD...
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EDHEC Publications

Journal of Financial Econometrics, Volume 18, Issue 3, Summer 2020  
Journal of Financial Econometrics, November 2019, pp. 1 - 57