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Queen Mary, University of London MSc Finance and Economics MSc Finance and Econometrics 2012-13


Dear Applicant, Welcome to the School of Economics and Finance at Queen Mary, University of London. You can look forward to joining one of the best Economics Departments in the UK, ranked 6th in the UK in the latest Research Assessment Exercise (RAE 2008). This means you will be taught by experts in their field. Our faculty members are top quality economists who publish in the best academic journals and act as consultants to major Institutions, including the Bank of England. Graduate Study at the School of Economics and Finance is excellent preparation for careers in a number of fields. Previous generations of graduate students have followed successful careers as financial economists, quantitative analysts and financial econometricians in London’s financial district, in leading universities, and in private and public institutions in various parts of the world. Our MSc programmes in Finance and Economics and in Finance and Econometrics are designed to provide you with all the analytical skills and knowledge necessary for either a career in finance in the private or public sectors, or academic research in the UK or abroad. What lies ahead of you is a very challenging year. As a team of academic and administrative staff, we look forward to welcoming you in September and hope that your time with us will be a most productive and enjoyable experience. Dr Andrea Carriero Programme director MSc Finance and Economics MSc Finance and Econometrics


Alternative MSc programmes

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Accommodation and application procedure


The programme The modules Staff Sample publications Student profiles Graduate employment

The information given in this brochure is correct at the time of going to press. The College reserves the right to modify or cancel any statement in it and accepts no responsibility for the consequences of any such changes.

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The programme

Programme description

Research strength

The MSc in Finance and Economics, and the MSc in Finance and Econometrics, are two wellestablished specialist programmes aiming at providing graduate students and professionals with a rigorous training and strong analytical background in finance, financial economics and econometrics.

The School of Economics and Finance is committed to excellence in research and teaching. Our expertise covers three key areas: economic theory, econometrics and finance, and applied economics. We regularly publish the results of our research in leading economic journals.

The intensive programmes cover all the analytical tools and the advanced materials in quantitative asset pricing, econometrics, financial derivatives, financial econometrics.You will also cover areas of specialisation such as asset pricing and modelling, international finance, time series analysis and corporate finance. Both programmes have a research dissertation component and are recognised as Research Training degrees by the ESRC under their "1+3" scheme.

We combine an excellent international reputation with a friendly and informal atmosphere. Economics at Queen Mary was ranked sixth in the UK in the 2008 Research Assessment Exercise (RAE) – the nation-wide assessment of the quality of research across all departments in all British universities.

The programmes are designed for students and professionals who aim to pursue careers as financial economists, quantitative analysts and financial econometricians in the private sector, in the government or in international financial institutions. They are also suitable preparation for an academic career. You will take four modules per semester, followed by a 10,000 word dissertation. There are also pre-sessional modules in maths and statistics, providing a good opportunity for students to refresh their knowledge of these areas. More detailed module information follows in this brochure.

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Applied learning The School has developed and nurtured collaborations with a number of public and private institutions. This provides plenty of opportunity for student placements and research co-operation. We also organise a number of additional, optional modules, the topics of which vary from year to year. These modules are taught by City professionals, who are well-placed to give an insider's view on issues of interest to the financial community.

High student satisfaction


In the 2010 National Student Survey, over 88 per cent of our students were pleased with their experience of studying at Queen Mary

Over the summer term, you will write a 10,000 word dissertation. Under supervision, you will learn how to undertake applied analysis, run estimations and formulate and test hypotheses.

Postgraduate resources You will have access to excellent computing facilities, offering an ideal environment in which to practise applied analysis. Standard software packages for data analysis, simulation, and word processing are available, including GAUSS, Eviews, PCgive, RATS, Microfit, and Stata. We also provide full subscription access to Datastream.

Teaching style Our School is made up of academics who are experts in their field. Regularly published in leading journals such as American Economic Review, Quarterly Journal of Economics, Econometrica and Journal of Financial Economics, we are actively engaged in research. This feeds into the quality of your lectures and tutorials. Modules are taught in a three hour block format. The first two hours deliver the core theoretical and technical concepts; these are then applied in the remaining hour. You will be assigned a personal tutor who will support you throughout your studies.

Assessment The grade for each module is assessed through coursework, which counts for 20-25 per cent of the final marks, along with a written exam in May. The 10,000 word dissertation written over the summer carries a weight equivalent to four modules.

Pre-semester modules Pre-semester modules in mathematics and statistics take place over two weeks in September. They are especially designed for students who want to review topics such as probability and matrix algebra. You may have a test at the end of course.

Duration You will be studying over a 12 month period, beginning in September with the mathematics and statistics pre-semester modules. You can also study part-time over a 24 month period.

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The programme (cont)

Programme timetable for MSc in Finance and Economics Pre-semester A

Semester A

Semester B

Post-Semester B



Advanced Asset Pricing and Modelling

10,000 word dissertation


Econometrics A

Financial Derivatives

Corporate Finance




Programme timetable for MSc in Finance and Econometrics Pre-semester A

Semester A

Semester B

Post-Semester B



Econometrics B

10,000 word dissertation


Econometrics A

Financial Econometrics

Time Series Analysis




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The modules

Compulsory modules: Advanced Asset Pricing Modelling This module covers some of the topics analysed by the modern theory of asset pricing. After a recap of CAPM, we concentrate on the ArrowDebreu approach for valuing cash flows. Next, we cover the consumption-based approach to asset pricing. We conclude with an overview of the theories that investigate the effects of asymmetric information in financial markets.

Corporate Finance This module aims to develop your understanding of how firms raise external finance and design their capital structure. In the first three lectures we will examine the assumption that the firm's cash flows are exogenous with respect to financial decisions. In this framework you will study the Modigliani–Miller theorems stating which conditions make capital structure irrelevant, and derive the optimal debt/equity mix in the presence of taxes and costly bankruptcy. The rest of the module addresses the issue of how a firm's financial and governance structure affects its value once information problems between firms' insiders and investors are taken into account. We first focus on the incentives of the firm's insiders and study how capital structure impacts their agency relationship with

outside investors; we then turn to outsiders' incentives, recognising that investors play an important monitoring role in the firms they fund. We then study models linking security returns and control rights. Finally, the interaction between firms' financial decisions and product market behaviour is addressed.

Econometrics A The purpose of this module is to provide you with the necessary tools for formalising a hypothesis of interest and testing it, writing a simple econometric model, estimating it and conducting inference. You will start with a review of the classical linear model, and then analyse finite sample and asymptotic properties of ordinary least squares, instrumental variables and feasible generalised least squares, under general conditions. The case of dependent stationary observations is also covered. You will also study nonlinear estimation methods, and in particular the generalised method of moments.

Econometrics B • Macroeconometrics This module is designed to provide you with a general knowledge of, and the basic methods used, in the current practice of macroeconometrics. You will cover a brief history of macroeconometrics, including current methodological issues, main characteristics and fundamental tools. You will examine three important aspects: dynamics and results; expectation and exogeneity. You will then go Queen Mary, University of London 05

The modules (cont)

through basic models with cointegrated time series, and discuss how to link macroeconometric models to macroeconomic theory.

All the relevant concepts are discussed based on the discrete time binomial model and the continuous time Black-Scholes model. The extensions of the Black-Scholes model are also discussed.

• Microeconometrics This module consists of two parts. The first part deals with the quantitative analysis of panel data. Such data sets contain information on the behaviour of different economic agents (consumers, firms, workers etc.) over time. You will discuss estimation and inference methods for both static and dynamic panel data models which allow for heterogeneity among agents. We pay special attention to weak instrument and measurement error problems and discuss unit root testing procedures. The second part of the module is concerned with econometric techniques for models involving limited dependent variables or qualitative variables.

Financial Derivatives The purpose of this module is to provide you with an understanding of the theory and practice of pricing and hedging derivative securities. These include forward and futures contracts, swaps, and many different types of options. This module covers diverse areas of derivatives, such as equity and index derivatives, foreign currency derivatives and commodity derivatives, as well as interest rate derivatives. You will also cover the issue of how to incorporate credit risk into the pricing and risk management of derivatives.

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Financial Econometrics This module discusses econometric methodology for dealing with problems in the area of financial economics and provides students with the econometric tools applied in the area. Applications are considered in the stock, bond and exchange rate markets. You will cover the following issues: asset returns distributions; predictability of asset returns; econometric tests of capital markets efficiency and asset pricing models; inter-temporal models of time-varying risk premium; nonlinearities in financial data; value at risk; pricing derivatives with stochastic volatility (or GARCH) models; modelling non-synchronous trading; and numerical methods in finance.

Investments This course introduces students to the key principles in asset pricing and investment management it covers risk, return and portfolio construction, Equity markets and pricing, Fixed income markets and the term structure of interest rates, Introduction to derivatives markets, Applied security analysis and Applied portolio management.

Time Series Analysis This module aims to provide a foundation in time series analysis in general, and in the econometric analysis of economic time series in particular, offering theory and methods at a level consonant with an advanced training for a career economist. Topics include: an introduction to time series analysis for econometrics and finance; vector linear time series models; continuous time stochastic models; strong dependence and long memory models; and unit roots and co- integration.

Module options include: Econometrics C The purpose of this module is to equip students with the probabilistic and statistical tools necessary to undertake research in econometrics and to cover a number of important topics in this field. The modules starts with a review of large sample theory, and then proceeds to analyze the asymptotic behavior of extremum estimators, including maximum likelihood and generalized methods of moments. Some important efficiency results will be covered. Finally, the module will deal with panel data, limited dependent variables, unit roots, and cointegration.

Empirical Macroeconomics This module studies modern econometric methods to estimate, evaluate and forecast with structural macroeconomic models. It covers methods that are popular in central banks and in policy institutions. The methods covered allow us to extract cyclical information, solve and estimate

structural models, evaluate the effect of monetary policy, and forecast variables such as inflation and output growth using econometric software.

International Finance The process of financial globalisation has emphasised the importance of international capital flows for the understanding of exchange rate dynamic behaviour. For this purpose, the emphasis of the module will be on models for exchange rate determination which is an area of central importance to major financial institutions. You will focus specifically on (purchasing power and interest rate) parity relationships; the use of the forward rate as an optimal predictor of the spot nominal exchange rate; the asset price view of exchange rate (using either flexible or sticky prices) with financial assets as perfect substitutes; the international CAPM and the (first generation) models of currency crises. Particular attention will be paid to the implementation of the Vector Autoregression Model (VAR) as an econometric methodology to test some of the theoretical models.

Labour Economics This module will give you an understanding of some of the issues in contemporary labour economics, with an emphasis on the empirical side of the discipline. You will cover a mix of theoretical economic, data analysis and econometric techniques. This reflects the nature of a discipline which is eclectic and constantly 'on the move'. This illustrates how

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The modules (cont)

economists uncover the effect of policy reforms and changes in opportunities and constraints in the labour market using micro-data. This module is designed to appeal to both prospective researchers and those wishing to pursue a career in government, international institutions and consultation with public and private bodies. This module is not intended to be an exhaustive survey of all of the relevant issues in labour economics. The topics chosen are selected in order to illustrate the varieties of questions labour economists ask themselves, and how they proceed to solve them. Topics covered include: introduction to empirical labour economics; human capital and returns to education; school quality; changes in the wage structure; changes in employment structure; US vs. Europe; the employment effect of minimum wages; labour supply; immigration; crime; neighbourhood effects.

Macroeconomics A This module deals with the long-run growth of GDP and its short-run fluctuations. You will start by analysing the traditional models of economic growth theory, ie the Solow-Swan model and the Ramsey-Cass-Koopmans model. Within the framework of these models you will study the central questions of growth theory as well as the effects of government expenditure on macroeconomic variables. You will then discuss the most important ideas of endogenous growth theory, including research and development, human capital formation, and knowledge creation. 08 MSc Finance and Economics, MSc Finance and Econometrics

The second part of the module deals with two classes of theories of aggregate fluctuations, ie, real-business-cycle theories and Keynesian theories. Whereas real-business-cycle theories assume flexible prices and market clearing, Keynesian theories proceed from the assumption of nominal stickiness and market failure. We discuss possible reasons why prices and wages are sticky and analyse the implications of this fact.

Macroeconomics B This module covers a number of standard topics in macroeconomics. The first part of the module deals with individual and aggregate consumption and saving behaviour as the outcome of optimal inter-temporal choice. It uses the framework to study a number of policy issues including the effect, and optimal mix, of tax versus debt financing of government expenditure. The second part of the module presents theories of firms' investment in physical capital and their implications for aggregate investment. Lastly you will study two ways of looking at unemployment as an equilibrium outcome. The first view highlights the role of search frictions. The second one focuses on real wage inflexibility.

Mathematics for Economists The purpose of this course is to equip students with the mathematical tools needed to study economics and related fields at the postgraduate level and to work in these areas as a researcher or practitioner. The emphasis is on both (1) mastering specific techniques that are widely

used in economic theory and finance, and (2) developing a language, a conceptual framework, and a standard of argument appropriate for analysing economic questions mathematically. The module complements the School's postgraduate micro and macro theory sequences, and together with these modules will enable the successful student to read research papers in theoretical and applied economics. As time permits, the module will cover some or all of the following topics: logic, sets and orderings, the real number system, Euclidean space, sequences and limits, topology and convexity, functions and correspondences, continuity, differentiability, the inverse and implicit function theorems, fixed point theorems, optimisation, comparative statics, dynamic programming, and optimal control.

Microeconomics A Together with Microeconomics B, this module will give you a firm grounding in modern microeconomic theory. Topics to be covered in the first term include: choice, preference, and utility; classical consumer and producer theory; choice under uncertainty; Walrasian (competitive) equilibrium and the fundamental welfare theorems; general equilibrium over time and under uncertainty; and market failure.

Microeconomics B Together with Microeconomics A, this module will give you a firm grounding in modern microeconomic theory. Topics to be covered in the second term include: games in strategic and extensive form; Nash equilibrium and its refinements; games with incomplete information; repeated games; adverse selection, signaling, and screening; the principal-agent problem; incentive theory and mechanism design.

Topics for Macro-Labour This module provides an overview of some of the main current topics in macro-labour. It combines typical empirical tools of labour economics with equilibrium models of the macroeconomy to interpret the main stylised facts of modern labour markets and draw policy implications. The module has a strong applied focus. For each major topic covered we will derive testable implications, provide insights into the research methodology, discuss the advantages and Limitations of existing empirical work, and draw policy conclusions.

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Staff research Jose-Miguel Albala-Bertrand Development Economics, Macroeconomics and Economics of Disasters Jose-Miguel is an international expert in the economics and political economy of disasters, who has participated in high-powered projects with international organisations, especially the World Bank. He is currently writing a book, commissioned by Routledge, in the area of disaster economics. Its provisional titled is Disasters, Networks and Development. He works on development economics with a focus on macroeconomic theory and policy in three main areas of concern. Firstly, naturally/sociallyinduced disasters via empirical, analytical and policy-orientated approaches. His main conclusion is that as a rule "disasters are a problem OF development, but not a problem FOR development". Secondly, he has done work on structural change, especially comparing the "Washington Consensus Model" with the "Asian Model". And thirdly, he has also worked on the analysis of infrastructures, proposing a novel twogap model to assess the impact of infrastructural capital on growth. He has also proposed an optimally consistent method, via linear programming, to calculate a benchmark for the capital stock, which is both accurate and significantly cost-saving in finance and time, especially when data is scarce. It has now been applied in many countries, especially China.

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Nizar Allouch Microeconomic Theory Nizar's research interests are mainly in Microeconomic Theory, Public Economics and Game Theory. In addition to his work on NoArbitrage conditions in assets markets, he is currently elaborating some work on Tiebout economies with overlapping clubs/jurisdictions and multiple memberships. His work on Tiebout/Clubs economies will have some game theoretic and pricing applications to general networks. Richard Baillie Time series analysis, Econometrics and International Finance Richard is the A J Pasant Professor of Economics and Finance at the Michigan State University, USA, as well as working part-time at Queen Mary. He works in the area of dynamic econometric methods, international finance, asset pricing and time series analysis. His current main research interests are the theory of long memory processes, modelling volatility, general issues in prediction, international finance parity conditions, modelling risk premium, and the effects of central bank intervention. He has published over seventy articles in the main professional journals and is a Fellow of the Journal of Econometrics and an elected fellow of the American Statistical Association. According to Repec, he is in the top 3 per cent of all economists for citations and has an "h" statistic of 19. He is co-editor of the Journal of Empirical Finance and also serves as associate editor of a number of other journals and is visiting Scholar at the Federal Reserve Bank of Atlanta.

Francis Breedon Foreign exchange and bond markets particularly in the area of market microstructure. Francis’s main research interests are in foreign exchange and bond markets particularly in the area of market microstructure. He has direct experience of financial markets through his time at the Bank of England, and his consulting roles for a number of Banks, Hedge Funds, Government Departments and Central Banks. Currently, he is undertaking a project on currency allocation for the Norwegian Petroleum Fund. He has also worked at the London and Chicago Business Schools. Andrea Carriero Applied Macroeconomics and Forecasting Andrea's research interests are applied macroeconometrics and forecasting. He is working on the econometric analysis of present value models, with applications on the Expectation Theory of the Term Structure of Interest Rates, the Uncovered Interest Rate Parity, and the New Keynesian Phillips Curve. He is also working on the construction and evaluation of alternative composite coincident and leading indexes for the Euro Area and the UK. Francesca Cornaglia Applied Microeconomics Francesca's main interests are in labour and health economics, and applied microeconomics. Her current work agenda is related to crime, addictive behaviour and mental health issues. She's currently working on a project investigating

the impact that crime has on the mental wellbeing of individuals living in communities that have been subjected to crime, but who have not themselves been victims of criminal actions. She's also working on a lifecycle model of smoking behaviour. Giulio Fella Macroeconomics and Theoretical Labour Economics Giulio Fella works in macroeconomics and theoretical labour economics. He has investigated the effects of dismissal regulations on unemployment, welfare and firms' investment in workers' training. He has worked on optimal insurance contracts in models of search unemployment. His current projects concern the effectiveness of alternative policies in shaping incentives to engage in criminal activity. Marcelo Fernandes Empirical Finance, Financial Econometrics, and Empirical Market Microstructure Marcelo has currently two lines of research. The first deals with the theory and application of nonparametric methods to high-frequency financial data. In particular, he has been working on a nonparametric framework for the analysis of volatility and jump spillovers as well as for identifying mispricings in the financial markets. Marcelo's second line of research aims to assess performance and risk-taking behaviour in the hedge fund industry.

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Staff (cont)

Ana Galvao Applied Macroeconomics and Forecasting Ana's research interests are macroeconometrics and forecasting. She has worked on applications of non-linear time series models to macroeconomic and financial time series, and on extensions of models with mixed data frequencies for forecasting macroeconomic variables. She is currently working on the impact of data revisions in forecasting macroeconomic aggregates. Liudas Giraitis Time-Series Econometrics Liudas has completed extensive research on long memory and integrated I(d) models. He is interested in ARCH models, their properties and estimation methods. Liudas has most recently been working on testing and estimation of integrated time series models in econometrics and development of comprehensive asymptotic theory for quadratic forms of dependent variables. He has published numerous articles in the leading statistical and econometric journals. Emmanuel Guerre Econometric Theory Emmanuel's research interests concern nonparametric identification and inference for auctions, optimal nonparametric testing and inference for recurrent/unit root processes. His main contribution in auction modelling consists in a nonparametric rate optimal estimation method that circumvents the numerical difficulties induced by the Nash equilibrium. His work in nonparametric testing deals with adaptive rate optimal tests that also have a simple limit 12 MSc Finance and Economics, MSc Finance and Econometrics

distribution. This testing approach can be applied in various contexts and is easy to implement. Randi Hjalmarsson Economics of Crime Randi’s research focuses on empirical questions related to the economics of crime. In particular, she has studied the effect of incarceration on education and subsequent criminal activity; one of these papers focuses on identifying peer effects in the criminal justice system. Other research questions are policy driven, such as whether the death penalty has a deterrent effect and whether gun shows in the US increase suicide and homicide rates in the geographic areas surrounding the shows. Her current research focuses on racial and gender biases in jury decisions and on the role of the family and neighborhood in determining criminal behavior. Alfonsina Iona Capital Structure, Corporate Investment, Corporate Governance and Financing constraints. Alfonsina’s research in finance is carried out both at the theoretical and empirical level. In particular, she studies and develops models of investment where the effects of capital market imperfections contribute to shape the firm’s investment; where corporate investment is affected by the public investment and where capital market imperfections effects may be relaxed by some macroeconomic variables. In this research area she also analyses how corporate governance characteristics affect the firm financing policies and how these affect the firm value.

Alfonsina’s research in economics is focused on the main determinants of the adoption of innovations by firms and the impact of innovations on firm performance. George Kapetanios Econometrics and Macroeconomics George works in the area of econometrics and macroeconomics. In the area of econometrics he is interested in (i) the analysis of nonlinear econometric models, (ii) nonlinear unit root tests, (iii) factor models for large datasets (iv) model selection (v) tests of rank (vi) tests of nonlinearity and (vii) econometric forecasting. He has developed unit root tests that are powerful against nonlinear stationary processes for a variety of nonlinear alternative hypotheses. He has developed new tests for nonlinearity with very favourable size and power properties. He has proposed a new methodology for estimating factors from large datasets using state space models. In the area of macroeconomics he has investigated the persistence properties of a number of macroeconomics series and used state space and nonlinear models to forecast GDP for Europe and the US. Marika Karanassou Macroeconomics and Empirical Finance Marika's main interest is macroeconomic modelling. The analysis of dynamic macrolabour models with spillover effects, the evaluation of the inflation-unemployment tradeoff, and the identification of the factors which jointly drive these central macro variables are the focal points of her research. The theoretical and empirical models of her work

draw a new line of research and her results challenge the macroeconomic consensus on two major fronts: (i) the interplay of dynamics and growth in labour market models questions the prevailing wisdom of the natural rate of unemployment, and (ii) the existence of a downward-sloping Phillips curve points against the classical dichotomy doctrine. Winfried Koeniger Macroeconomics Winfried considers macroeconomic issues with a particular focus on consumption and labour markets. He has analysed the effects of labour market institutions on economic performance emphasising interactions between the structure of labour markets, financial markets and product markets. Moreover, he researches quantitative models with heterogeneous agents to understand consumption and saving patterns. Stepana Lazarova Time-Series Econometrics Stepana works in the area of Time Series Econometrics. In particular she focuses on time series with long memory. She investigates linear models with breaks in parameters and examines the validity of bootstrap methods for models with strongly dependent processes. Leone Leonida Corporate Finance and Growth Leone's research interests are mainly in growth and corporate finance. He is studying the effects on growth processes and convergence patterns of structural change (ie industrialisation) by means of semi-parametric stochastic kernels Queen Mary, University of London 13

Staff (cont)

and ACF estimation. He also studies the effects on firm value and investment of corporate governance mechanisms, exchange rate fluctuations and spill over effects from public capital. Yioryos Makedonis Mathematical Economics, Macroeconomics, and Environmental Economics Yioryos's main areas of research are Mathematical Economics, Macroeconomics, and Environmental Economics. Rachel Male Applied Macroeconomics and Development Economics Rachel's interests are applied macroeconomics, development economics and applied econometrics. She is currently working on the empirical analysis of a DSGE model with sticky prices and a vertical input-output structure, to model output persistence (in response to a monetary policy shock) of economies at different levels of development. She is also working on the econometric analysis of developing country business cycles; including turning point analysis of business cycle duration and timing, and statistical analysis of persistence, volatility, correlations with output, cross-country quantity correlations and real exchange rate correlations.

Marco Manacorda Labour Economics Marco Manacorda is a labour economist with a particular interest in developing countries. His research is empirical in nature and focuses on how incentives are shaped by Public Policies, with the ultimate aim of uncovering the microdeterminants of individual behavior. He has written on topics such as Wage Institutions, Schooling, Child Labour, Migration, Family Formation, Social Protection, Political Economy, Unemployment, Wage Inequality and Early Child Development, in both Developed and Developing countries. Marco Manacorda is also a Research Associate at the Centre for Economic Performance (CEP) at the London School of Economics, a CEPR Research Affiliate in the Public Policy and Labour Economics Programmes, and a Research Fellow at IZA (Bonn) and CESIFO (University of Munich). Xavier Mateos-Planas Xavier’s primary research interest is in quantitative macroeconomics – the combination of theory and data for measurement and policy analysis. His agenda reaches across various themes, including the determination of fiscal policies, financial frictions and consumer credit regulation, unemployment and inequality, technology and development, and fertility and economic growth. His recent work on political economy introduces dynamic voting and a rich demographic structure in quantitative macroeconomic models, a necessary step for the positive analysis of fiscal policies when there is population change. This permits the quantitative study of policy decisions

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in situations where the diverse political interests of different age groups interact. This model has been used to examine changes in US tax policies and unfunded social security. Xavier’s recent work has also focused on consumer credit in order to study personal bankruptcies and the impact of banking regulation. This research considers contracts that have the key realistic features of actual credit arrangements for unsecured household credit. It develops models for the determination of credit terms – credit limits and interest rates – in continuing credit relationships across the different types of households in the economy. This research can and does address policy questions of current practical significance such as the effect of tightening the ability of lenders to re-price risk on revolving loans. Radoslawa Nikolowa Organization Theory, Contract Theory, Secondary Fields: Industrial Organisation, Labour Economics Radoslawa's research interests are organisational economics and corporate finance. In the area of organisational economics she has analysed from a theoretical prospective the impact of labour market conditions on the internal organisation of the firm, in terms of organisational structure and reward schemes for the employees. More recently she is working in the field of corporate finance, investigating the questions of creation and financing of spin-offs, and CEO turnover.

Barbara Petrongolo Barbara Petrongolo's main area of interest is applied labour economics. The focus of some of her recent contributions is the performance of labour markets with job search frictions, with applications to unemployment dynamics, welfare policy and interdependencies across local labour markets. She is also carrying out research on the causes and characteristics of gender earnings inequality across countries, with emphasis on the role of employment selection mechanisms and structural transformation. Duo Qin Applied Econometrics and History of Econometrics Duo works in areas of econometrics. Her research expertise covers broadly: (a) the history and the methodology of econometrics; (b) applied macro-econometrics with particular reference to transitional and developing economies, e.g. countries of the Asian region, as well as international economic/financial issues. She is also interested in normative issues concerning social, ethnic and cultural problems associated with economic development. Anne Spencer Health Economics Anne's research is focused on the analysis of preferences and decision- making, with particular applications to health and safety issues. Her research covers utility measurement, decision under uncertainty, intertemporal choice, and draws upon experimental economics techniques to try to isolate the factors that affect

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Staff (cont)

decision-making. She has published in the Journal of Risk and Uncertainty, as well as more specialised journals like Health Economics and Social Science and Medicine. She also mentors health economists to use modelling techniques to aid decision-making at the National Institute for Health and Clinical Excellence (NICE). In addition, she is involved in research to apply modelling techniques to improve the design of clinical trials and to develop guidelines for researchers on the use of modelling techniques to inform cost effective studies. Anne is also senior health economics advisor for the Pragmatic Clinical Trials Unit (PCTU) which can be found on the web at . Christopher Tyson Microeconomic Theory Christopher's primary research interests are in individual decision making; specifically, in the areas of revealed preference analysis, bounded rationality, utility theory, and intertemporal choice. His other interests include game theory, bargaining, choice under uncertainty, and evolutionary models. Roberto Veneziani Microeconomic Theory and Political Economy Roberto's research interests include topics of dynamic models of cyclical growth, egalitarian principles, and distribution of resources between generations, sustainable development, and normative principles in economics. He has focused mainly on dynamic recursive optimisation models with heterogeneous agents.

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He is also interested in the history of economic thought and in political economy from a mathematical perspective. Leon Vinokur Environmental Economics Leon’s research is on EU environmental policy with an emphasis on the UK. His thesis involved a cost-benefit analysis of the environmental policy in the EU with a focus on decision-making under uncertainty. Leone also assessed the econometrics of the disposition effect in the carbon market using intra-daily data. He has also analysed the theoretical impact of the Kyoto mechanisms on the production incentives in the market – specifically the uncertainty of the policy, after the expiry of the Kyoto protocol and how this affects the current emissions rate of the producers. Guglielmo Volpe Economic Education and Growth Theory Guglielmo's research interests lie in the areas of economic growth and economic education. He has investigated the role of imperfect capital markets in human capital accumulation and economic growth. Presently he is investigating the effects of alternative environmental policies on economic growth. In the area of economic education Guglielmo has a particular interest in student centred approaches to learning (such as PBL), the internationalisation of the curriculum and link between institutional sense of belonging and academic performance.

Nicolaas Vriend Microeconomic and Game Theory, Economic Dynamics Nick's fields of interest are microeconomic theory, game theory, industrial organisation, evolutionary economics, and complex adaptive systems. His research focuses on the theory of markets and economic behaviour, and he is particularly interested in the dynamics of interactive processes involving bounded rational, learning agents. In relation to this, in his work he follows theoretical as well as experimental and computational tracks. He has investigated the meaning of the concept of rationality in economics, and analysed the link between, on the one hand, ideas of economies as complex adaptive systems (e.g. in recent Agent-based Computational Economics work), and on the other hand, much earlier views on selforganisation in economics as advanced by Adam

Smith or Hayek. He has worked on models of price dispersion and consumer loyalty and of the phenomenon of information-contagion, and he has investigated the relevance and implications of a range of learning theories both in theory and in experimental setups (including various oligopolistic markets, a location game, and ultimatum games). Recent work also includes the significance of focal points and of signalling in coordination games, and the measuring of the competitiveness of football leagues. Andriy Zapechelnyuk Microeconomic Theory, Game Theory Andriy's research interests are in the areas of microeconomic and game theory, with a particular focus on adaptive learning and decision making in uncertain environments, as well as bargaining theory, auctions and contracts.

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Sample publications

Allouch N. and M. Florenzano M. (2004): “Edgeworth and Walrasian equilibrium of an arbitrage-free exchange economy”, Economic Theory. Allouch N. (2002): “An equilibrium existence result with short selling”, Journal of Mathematical Economics. Artis, M., A. B. Galvão and M. Marcellino (2007): “The transmission mechanism in a changing world”, Journal of Applied Econometrics. Berlinski S., S. Galiani and M. Manacorda (2008): “Giving Children a Better Start: Preschool Attendance and School-Age Profiles”, Journal of Public Economics. Bertola G., S. Hochgürtel and W. Koeniger (2005): “Dealer Pricing of Consumer Credit”, International Economic Review. Bosch-Domènech A. and N. Vriend (2003): “Imitation of Successful Behaviour in Cournot Markets”, Economic Journal. Carriero A. (2008): “A simple test of the New Keynesian Phillips Curve”, Economics Letters. Carriero A., Favero C. and Kaminska, I (2006): “Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates”, Journal of Econometrics. Clements, M. and A. B. Galvão (2008): “Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth”, Journal of Business and Economic Statistics.

18 MSc Finance and Economics, MSc Finance and Econometrics

Amaro de Matos, Joao, and Fernandes M., (2007): Testing the Markov property with high frequency data, Journal of Econometrics. Fernandes M. and Rocha, Marco Aurelio dos Santos, (2007): Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange, Journal of Financial Econometrics Fernandes M. and J. Grammig (2006): “A Family of Autoregressive Conditional Duration Models”, Journal of Econometrics. Fernandes M. (2006): “Financial crashes as endogenous jumps: Estimation, testing and forecasting, Journal of Economic Dynamics and Control Fernandes M. and J. Grammig (2005): “Nonparametric Specification Tests for Conditional Duration Models”, Journal of Econometrics. Guerre E. and A. Guay and S. Lazarova (2009): Adaptive rate-optimal detection of small autocorrelation coefficients, 62p Submitted Guerre E. and A. Guay (2006): “A data-driven nonparametric specification test for dynamic regression models”, Econometric Theory. Guerre E. and P. Lavergne (2005): “Rate-optimal data-driven specification testing for regression models”, The Annals of Statistics. Guerre E. and I. Perrigne and Q. Vuong (2000): Optimal nonparametric estimation of first-price auctions, Econometrica, 68, 525-574

Kapetanios G., Y. Shin and A. Snell (2003): “Testing for a Unit Root against Nonlinear STAR Models”, Journal of Econometrics.

Pancs R. and N. Vriend (2007): “Schelling's Spatial Proximity Model of Segregation Revisited”, Journal of Public Economics.

Kapetanios G. (2008): “The asymptotic distribution of the cointegration rank estimator under the Akaike information criterion”, Econometric Theory.

Tyson, C.J. (2010): “Dominance solvability of dynamic bargaining games”, Economic Theory.

Koeniger W. and J. Prat (2007): “Employment Protection, Product Market Regulation and Firm Selection”, Economic Journal. Manacorda M. (2006): “Child Labor and the Labor Supply of Other Household Members: Evidence from 1920 America”, American Economic Review.

Tyson, C. (2008): “Cognitive constraints, contraction consistency, and the satisfying criterion”, Journal of Economic Theory. Tyson, C. (2008): “Management of a capital stock by Strotz's naive planner”, Journal of Economic Dynamics and Control.

Queen Mary, University of London 19

Student profiles

Graduate profile: Matanat Alieva Studied: MSc in Finance and Economics Currently: Working for Barclays Bank Why did you choose Queen Mary for your postgraduate study: I chose Queen Mary, because the School of Economics and Finance has a great reputation – it is considered to be one of the best in the UK. In particular, I was impressed by the School being ranked 6th in the UK for the quality of its research.

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Also, I studied for my BSc in Economics at Queen Mary and decided to continue with the MSc. I had lots of positive emotions about the School, the teaching quality was very high, and I met lots of nice people. Ultimately my aim was to work in the banking sector, and I secured a job with Barclays before graduating. What did you gain from your time at Queen Mary? During my time at Queen Mary, I learned how to work hard under pressure, how to deal with strict deadlines, and how to work in a group. Ultimately I started to think as a financial economist.

Careers Our careers service is run by a team of dedicated and professional staff. We offer advice through drop-in sessions and in-depth interviews, and run an extensive programme of seminars covering topics such as: interview skills; how to deal with psychometric tests; and surviving assessment centres. You will also be able to use our extensive Careers Library.

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Graduate employment

Former students have carved out successful careers in a variety of environments including: financial and academic institutions, the civil service and industry. First destinations of our graduates include employment and/or research at: the International Monetary Fund (IMF), CFA, NYSE-Euronext, Mazars Pakistan, JS Bank, South Chine Securities (UK) Ltd, ING Wholesale. Other former students work in leading European universities and in the City of London in institutions such as Barclays, HSBC, Ernst&Young.

An international outlook The School of Economics and Finance at Queen Mary is made up of people from all over the world. In fact, international diversity of both faculty and students is a key ingredient of our success. Female students are also well represented, making up almost 50 per cent of students. The chart below shows students’ country of origin by percentage.

The chart below shows student destinations, by percentage. Country of Origin


Others 17%

Banking 33%

Event Management 8%

Europe 22%

Middle East 33%

England 9%

Research 4% International Finance 15%

Investment Banking 23%

22 MSc Finance and Economics, MSc Finance and Econometrics

Africa 6%

Asia 30%

Alternative MSc programmes

The School runs a number of MSc degree programmes. You can indicate a second choice of programme on your application form. You will be considered for entry on to your second choice should we have reached the maximum number of students on your first choice of programme. MSc Economics This is a well-established, intensive programme providing rigorous training in modern economic theory and applications. Ideal for students who aim to train as professional economists in the private sector or government, or follow an academic, or research career. This programme includes a dissertation component, and is recognised as a Research Training degree by the ESRC under their “1+3� scheme. For more information: msc-programme/msc-economics MSc Banking and Finance This MSc in Banking and Finance offers specialised, practical training in an environment of academic excellence. Students cover a variety of perspectives on how financial markets operate, grounded in economic and financial theory and practice.

For more information: MSc Finance and Investment This programme aims to train students and professionals in areas of finance which have major practical and theoretical interest, especially investment analysis and corporate finance issues such as optimal capital structure and mergers and acquisitions, banking, derivatives and finance microstructure. This programme offers professional postgraduate training, preparing students to follow careers in finance, banks or elsewhere in the private sector. A number of optional modules are also on offer. These are taught by City practitioners who provide insiders’ views on issues of interest to the financial community. For more information:

This taught MSc programme is ideal for those aiming to pursue careers in the City, private banking sector, financial institutions, and financial regulatory bodies, as well as those already working in these fields. Graduates will be well placed to follow careers in investment management, financial statement, risk and portfolio management.

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Accommodation and application procedure

Accommodation Queen Mary students are well placed when it comes to finding suitable accommodation. The Mile End campus incorporates a Student Village with more than 2,000 rooms, many of them ensuite. Queen Mary students also have access to places in the fully catered Intercollegiate Halls in central London, which are owned by the University of London. Additionally, there is a range of private sector housing in the east London area surrounding the campus. If you prefer to live in private accommodation, the College can help you find a suitable place, by providing you with guidance notes and up-to-date listings of available properties. Once you have firmly accepted your offer to study at Queen Mary, full details of how to apply for College housing will be sent to you by the Admissions Office. Some residences are reserved solely for postgraduates, while others may be shared with final year undergraduate students; all residences are for both male and female students. Single sex accommodation is available in the standard style of housing, subject to availability. For all enquiries about accommodation can be found on the following website:

Entry requirements You should have at least an upper-second class honours degree, or equivalent, normally, but not strictly, in Economics. Some background

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in quantitative subjects is advisable. Students are expected to sit pre-sessional statistics and mathematics examinations following intensive pre-sessional modules in September.

Application All candidates should include a full academic transcript (a record of courses taken and grades achieved) and two academic references with their applications. The deadline for applications is mid-July, but courses generally start to fill up by the middle of March each year. The School reserves the right not to process applications which arrive later than July.

Further Information The School welcomes informal enquiries about any aspect of its graduate programmes. For further information please contact the Postgraduate Programme Manager: Sandra Adams School of Economics and Finance Queen Mary, University of London Mile End Road London E1 4NS email: Tel: +44 (0)20 7882 7356 Fax: +44 (0)20 8983 3580 For more information and application pack, visit: MSc Finance and EconomicsÂŹ programmes/msc-finance-and-economics MSc Finance and EconometricsÂŹ programmes/msc-finance -and-econometrics

This publication has been produced by Creative Services for the School of Economics and Finance – Pub8428 For further information contact: School of Economics and Finance Queen Mary, University of London Mile End Road London E1 4NS Tel: +44 (0)20 7882 7356 Fax: +44 (0)20 8983 3580 email:

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MSc Finance and Econometrics  

MSc Finance and Economics MSc Finance and Econometrics 2012_2013