Pub6575 FinanceEconomics_v3_QM A5 Master NewKB.qxd 07/07/2010 13:02 Page 1 Queen Mary, University of London MSc Finance and Economics MSc Finance and Econometrics The College reserves the right to modify or cancel any statement in it and accepts no responsibility for the consequences of any such changes.Pub6575 FinanceEconomics_v3_QM A5 Master NewKB. Our faculty members are top quality economists who publish in the best academic journals and act as consultants to major Institutions. This means you will be taught by experts in their field. or academic research in the UK or abroad. Previous generations of graduate students have followed successful careers as financial economists. we look forward to welcoming you in September and hope that your time with us will be a most productive and enjoyable experience. including the Bank of England. and in private and public institutions in various parts of the world. in leading universities. Dr Andrea Carriero Programme director MSc Finance and Economics MSc Finance and Econometrics The programme The modules Staff Sample publications Graduates Graduate employment Alternative MSc programmes Accommodation and application procedure 2 5 10 14 16 18 19 20 The information given in this brochure is correct at the time of going to press.qxd 07/07/2010 13:04 Page 2 Welcome Contents Dear Applicant. As a team of academic and administrative staff. quantitative analysts and financial econometricians in the City. University of London 01 . 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. University of London. What lies ahead of you is a very challenging year. You can look forward to joining one of the best Economics Departments in the UK. Graduate Study at the School of Economics and Finance is excellent preparation for careers in a number of fields. Queen Mary. ranked 6th in the UK in the latest Research Assessment Exercise (RAE 2008). Welcome to the School of Economics and Finance at Queen Mary. There are also pre-sessional modules in maths and statistics. in the government or in international financial institutions.You will also cover areas of specialisation such as asset pricing and modelling. Applied learning The School has developed and nurtured collaborations with a number of public and private institutions. who are well-placed to give an insider’s view on issues of interest to the financial community. which counts for 20-25 per cent of the final marks. including GAUSS. you will learn how to undertake applied analysis. simulation. time series analysis and corporate finance. The intensive programmes cover all the analytical tools and the advanced materials in quantitative asset pricing. These modules are taught by City professionals. Our expertise covers three key areas: economic theory. 02 MSc Finance and Economics. run estimations and formulate and test hypotheses. They are also suitable preparation for an academic career. econometrics and finance. Economics at Queen Mary came 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. financial economics and econometrics. Research strength The School of Economics and Finance is committed to excellence in research and teaching. Pre-semester modules Pre-semester modules in mathematics and statistics take place over two weeks in September. quantitative analysts and financial econometricians in the private sector. Based on a grade point average score. are two wellestablished specialist programmes aiming at providing graduate students and professionals with a rigorous training and strong analytical background in finance. University of London 03 . We also provide full subscription access to Datastream. followed by a 10.Pub6575 FinanceEconomics_v3_QM A5 Master NewKB. Microfit. PCgive. financial econometrics. offering an ideal environment in which to practise applied analysis. Under supervision. optional modules. You will take four modules per semester. providing a good opportunity for students to refresh their knowledge of these areas. and applied economics.000 word Dissertation written over the summer counts for four modules. This provides plenty of opportunity for student placements and research co-operation. You will sit exams at the end of modules. Teaching style Modules are taught in a three hour block format. Dissertation Over the summer term.000 word dissertation.000 word dissertation. and Stata. econometrics. financial derivatives. you will write a 10. The programmes are designed for students and professionals who aim to pursue careers as financial economists. Both programmes have a research dissertation component and are recognised as Research Training degrees by the ESRC under their “1+3” scheme. the topics of which vary from year to year. We combine an excellent international reputation with a friendly and informal atmosphere. Economics at the College was ranked among the top six departments in the UK Postgraduate resources You will have access to excellent computing facilities. these are then applied in the remaining hour. Assessment The grade for each module is assessed through coursework. More detailed module information follows in this brochure. Eviews. and word processing are available. Standard software packages for data analysis. along with a written exam in May. RATS. MSc Finance and Econometrics Queen Mary. The 10. international finance. You will be assigned a personal tutor who will support you throughout your studies. and the MSc in Finance and Econometrics. The first two hours deliver the core theoretical and technical concepts. Duration You will be studying over a 12 month period. We regularly publish the results of our research in leading economic journals. beginning in September with the mathematics and statistics pre-semester modules. You can also study part-time over a 24 month period. They are especially designed for students who want to review topics such as probability and matrix algebra.qxd 07/07/2010 13:02 Page 4 The programme Programme description The MSc in Finance and Economics. We also organise a number of additional. 000 word dissertation Core modules: Advanced Asset Pricing Modelling This module covers some of the topics analysed by the modern theory of asset pricing. we concentrate on the Arrow¬Debreu approach for valuing cash flows. Programme Timetable for MSc in Finance and Econometrics Pre-Semester A Mathematics Semester A Quantitative Asset Pricing Econometrics A Time Series Analysis Option Semester B Econometrics B Post-Semester B 10. We first focus on the incentives of the firm’s insiders and study how capital structure impacts their agency relationship Statistics Financial Econometrics Option Option Econometrics B • Macroeconometrics This module is designed to provide you with a general knowledge of.qxd 07/07/2010 13:02 Page 6 The programme (cont) The modules Programme Timetable for MSc in Finance and Economics Pre-Semester A Mathematics Semester A Quantitative Asset Pricing Semester B Advanced Asset Pricing and Modelling Financial Derivatives Option Option Post-Semester B 10. including current methodological issues.Pub6575 FinanceEconomics_v3_QM A5 Master NewKB. recognising that investors play an important monitoring role in the firms they fund. You will also study nonlinear estimation methods. instrumental variables and feasible generalised least squares.000 word dissertation Corporate Finance This module aims to develop your understanding of how firms raise external finance and design their capital structure. we then turn to outsiders’ incentives. Statistics Econometrics A Corporate Finance Option Econometrics A The purpose of this module is to provide you with the necessary tools for formalising a hypothesis of interest and testing it. in the current practice of macroeconometrics. In this framework you will study the Modigliani¬Miller theorems stating which conditions make capital structure irrelevant. You will start with a review of the classical linear model. Finally. We conclude with an overview of the theories that investigate the effects of asymmetric information in financial markets. estimating it and conducting inference. and derive the optimal debt/equity mix in the presence of taxes and costly bankruptcy. and the basic methods used. main characteristics and fundamental tools. and in particular the generalised method of moments. After a recap of CAPM. You will examine three important aspects: dynamics and interdependence. with outside investors. the interaction between firms’ financial decisions and product market behaviour is addressed. The case of dependent stationary observations is also covered. We then study models linking security returns and control rights. 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. You will cover a brief history of macroeconometrics. University of London 05 04 MSc Finance and Economics. writing a simple econometric model. under general conditions. In the first three lectures we will examine the assumption that the firm’s cash flows are exogenous with respect to financial decisions. MSc Finance and Econometrics . we cover the consumption-based approach to asset pricing. interpretation of econometric Queen Mary. Next. and then analyse finite sample and asymptotic properties of ordinary least squares. pricing derivatives with stochastic volatility (or GARCH) models. and numerical methods in finance. 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. MSc Finance and Econometrics Queen Mary. evaluate and forecast with structural macroeconomic models. We pay special attention to weak instrument and measurement error problems and discuss unit root testing procedures. You will focus specifically on (purchasing power and interest rate) parity relationships. and forecast variables such as inflation and output growth using econometric software. This reflects the nature of a discipline which is eclectic and constantly ‘on the move’.) over time. measures of risk. This module covers diverse areas of derivatives. and many different types of options. and discuss how to link macroeconometric models to macroeconomic theory. and unit roots and cointegration. inter-temporal models of time-varying risk premium. You will also cover the issue of how to incorporate credit risk into the pricing and risk management of derivatives. bond convexity and immunization. bond valuation and duration. Labour Economics This module will give you an understanding of some of the issues in contemporary labour economics.qxd 07/07/2010 13:02 Page 8 The modules (cont) results. This module is designed to appeal to both prospective researchers and those wishing to pursue a career in government.Pub6575 FinanceEconomics_v3_QM A5 Master NewKB. For this purpose. These include forward and futures contracts. modelling non-synchronous trading. such as equity and index derivatives. and in the econometric analysis of economic time series in particular. firms. Applications are considered in the stock. value at risk. All the relevant concepts are discussed based on the Quantitative Asset Pricing This module provides an introduction to the area of finance. bond and exchange rate markets. You will cover the following issues: asset returns distributions. with an emphasis on the empirical side of the discipline. hedging and butterfly trades in the treasury bond market. workers etc. Module options include: Empirical Macroeconomics This course studies modern econometric methods to estimate. trading systems. portfolio analysis and two fund separation theorem. The methods covered allow us to extract cyclical information. foreign currency derivatives and commodity derivatives. evaluate the effect of monetary policy. solve and estimate structural models. You will cover the following topics: present value. the use of the forward rate as an optimal predictor of the spot nominal exchange rate. Such data sets contain information on the behaviour of different economic agents (consumers. data analysis and econometric techniques. econometric tests of capital markets efficiency and asset pricing models. discrete time binomial model and the continuous time Black-Scholes model. the international CAPM and the (first generation) models of currency crises. offering theory and methods at a level consonant with an advanced training for a career economist. vector linear time series models. This illustrates how economists uncover the effect of policy reforms and changes in opportunities and constraints in the labour market using micro-data. the asset price view of exchange rate (using either flexible or sticky prices) with financial assets as perfect substitutes. University of London 07 . and arbitrage pricing theory models. The first part deals with the quantitative analysis of panel data. 06 MSc Finance and Economics. The extensions of the Black-Scholes model are also discussed. continuous time stochastic models. It covers methods that are popular in Central Banks and in policy institutions. nonlinearities in financial data. strong dependence and long memory models. term structure of interest rates. 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. You will discuss estimation and inference methods for both static and dynamic panel data models which allow for heterogeneity among agents. valuation of common stocks. expectation and exogeneity. the emphasis of the module will be on models for exchange rate determination which is an area of central importance to major financial institutions. swaps. predictability of asset returns. Time Series Analysis This module aims to provide a foundation in time series analysis in general. • Microeconometrics This module consists of two parts. capital asset pricing models. International Finance The process of financial globalisation has emphasised the importance of international capital flows for the understanding of exchange rate dynamic behaviour. You will then go through basic models with cointegrated time series. international institutions and consultation with public and private bodies. 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. You will cover a mix of theoretical economic. The second part of the module is concerned with econometric techniques for models involving limited dependent variables or qualitative variables. Topics include: an introduction to time series analysis for econometrics and finance. market making. as well as interest rate derivatives. Keynesian theories proceed from the assumption of nominal stickiness and market failure. and optimal mix. the course will cover some or all of the following topics: logic. functions and correspondences. Euclidean space. 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. We discuss possible reasons why prices and wages are sticky and analyse the implications of this fact. human capital formation. Students interested in the policy implications of public finance issues will also find this background very beneficial. Repeated Play. the inverse and implicit function theorems. and local public goods. The course complements the department’s postgraduate micro and macro theory 08 MSc Finance and Economics. differentiability. of tax versus debt financing of government expenditure. Adverse Selection. The topics chosen are selected in order to illustrate the varieties of questions labour economists ask themselves. It uses the framework to study a number of policy issues including the effect. We will also discuss several emerging approaches to applied welfare analysis under non-standard (“behavioral”) assumptions concerning consumer choice. labour supply. The second one focuses on real wage inflexibility. Lastly you will cover a general review of welfare economics and mechanism design. human capital and returns to education. dynamic programming. The first part of the module deals with individual and aggregate consumption and saving behaviour as the outcome of optimal inter-temporal choice. Europe. Auctions and Mechanism Design. real-business-cycle theories and Keynesian theories. Public Economics Public Economics is the study of the role of government in the economy. Topics include: Modeling Competitive Situations. First. Microeconomics A This module will give you a firm grounding in microeconomic theory. The second part of the module presents theories of firms' investment in physical capital and their implications for aggregate investment. with special emphasis given to duality techniques. ie the Solow-Swan model and the Ramsey-Cass-Koopmans model. and the economics of information. The main focus of this course will be to survey the basic tools and results that theoretical and empirical MSc students will need to work in the field. the real number system. optimization. especially to externalities. school quality. and how they proceed to solve them. 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. The second part of the module deals with two classes of theories of aggregate fluctuations. comparative statics. changes in the wage structure. fixed point theorems. the employment effect of minimum wages. topology and convexity. MSc Finance and Econometrics Queen Mary. and a standard of argument appropriate for analyzing economic questions mathematically. The second goal is to get a better understanding of some topics in recent microeconomics literature. and together with these modules will enable the successful student to read research papers in theoretical and applied economics. a conceptual framework. University of London 09 . We will take a modern general equilibrium and game theoretic approach instead of the traditional partial equilibrium and institutional avenues. including research and development. neighbourhood effects. Market Signalling. changes in employment structure. we focus on noncooperative game theory. Bargaining. US vs. Moral Hazard. Whereas real-business-cycle theories assume flexible prices and market clearing. Incomplete Information. sets and orderings. As time permits. The first view highlights the role of search frictions.Pub6575 FinanceEconomics_v3_QM A5 Master NewKB. The emphasis is on both (1) mastering specific techniques that are widely used in economic theory and finance. You will then discuss the most important ideas of endogenous growth theory. Macroeconomics A This module deals with the long-run growth of GDP and its short-run fluctuations. both in the context of strategic interaction (game theory) and in competitive markets (general equilibrium). crime.qxd 07/07/2010 13:02 Page 10 The modules (cont) This module is not intended to be an exhaustive survey of all of the relevant issues in labour economics. immigration. You will then move on to the analysis of multiperson decision making. Solution Concepts. Macroeconomics B This module covers a number of standard topics in macroeconomics. continuity. sequences. public goods. You will start by analysing the traditional models of economic growth theory. Topics covered include: introduction to empirical labour economics. in particular choice under uncertainty and consumer choice. Lastly you will study two ways of looking at unemployment as an equilibrium outcome. You are presented with a set of concepts and mathematical techniques which will enable you to achieve a better understanding of economic activity and outcomes. with each student writing a short essay on the basis of some assigned literature. Microeconomics B In the Microeconomics B course we pursue two goals. The module begins with the analysis of individual decision making. sequences and limits. and optimal control. ie. Primary attention will be given to the expenditure side of the economy. and (2) developing a language. and knowledge creation. Macroeconomics. Her research questions the central role of the NRU in forming policy decisions. He is also working on the construction and evaluation of alternative composite coincident and leading indexes for the Euro Area and the UK. As for empirical finance. Randi has also studied policy driven questions. public economics and network economies. such as whether the death penalty ha a deterrent effect and whether gun shows increase local mortality rates.uk Econometrics Andrea’s research interests are applied macroeconometrics and forecasting.allouch@qmul. time series analysis and empirical finance Marika’s research interests lie in the dynamics of inflation and unemployment. He has worked on optimal insurance contracts in models of search [email protected]. Giulio Fella works in macroeconomics and theoretical labour economics. tests of rank.ac. He has developed new tests for nonlinearity with very favourable size and power properties. Director for MSc Finance and Economics. the Phillips curve. He is currently working on Tiebout economies with overlapping jurisdictions and memberships and to some game-theoretic and pricing applications to general networks. MSc Finance and Econometrics a. and econometric forecasting.ferreira@qmul. He is also working on a preferences-free approach for the identification of the stochastic discount factor such as symmetry and independence. adaptive nonparametric specification testing and time series. and in particular. She has worked on applications of non-linear time series models to macroeconomic. Emmanuel Guerre PhD (Paris) Director PhD Finance/Econometrics e. University of London 11 . and financial time series.qxd 07/07/2010 13:02 Page 12 Staff Nizar Allouch PhD (Paris) Reader n. but also topics relating to empirical market microstructure.uk Applied econometrics. factor models for large datasets.fella@qmul. and in testing for mean reversion in financial time series. Labour economics. and the natural rate of unemployment. and on extensions of models with mixed data frequencies for forecasting macroeconomic variables. Randi’s research focuses on empirical questions related to the economics of crime. She has developed the chain reaction theory of unemployment and has defined measures of its persistence and responsiveness. applied econometrics. Statistics The areas of econometrics George is interested in are: the analysis of nonlinear econometric models. Randi Haljmarsson PhD (Yale University) Lecturer Labor and Public Economics. and empirical macroeconomics Ana's research interests are mainly focused on macroeconometrics and forecasting. Queen Mary. Her theoretical work relies on time series analysis and is supported by empirical models that apply macro-econometric techniques. He has developed unit root tests that are powerful against nonlinear stationary processes for a variety of nonlinear alternative hypotheses.ac. heterogeneous agents with applications to the evaluation of effectiveness of alternative policies in shaping educational choices and incentives to engage in criminal activity. with applications on the Expectation Theory of the Term Structure of Interest Rates.uk Macroeconomics. His current interests lie in the area of quantitative equilibrium models. and proposes a holistic framework to jointly explain the evolution of inflation and unemployment. tests of nonlinearity.ac. George Kapetanios PhD (Cambridge) Professor and Head of School g. Some of her research has focused on the impact of incarceration on education and criminal behaviour. welfare and firms' investment 10 MSc Finance and Economics. Specifically. 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. He has investigated the effects of dismissal regulations on unemployment.uk Econometrics Emmanuel’s research interests are in econometrics. challenges the conventional wisdom that inflation and unemployment are unrelated in the long-run.Pub6575 FinanceEconomics_v3_QM A5 Master NewKB. He is working on the econometric analysis of present value models.ac. he is currently working on a preferences-free approach for the identification of the stochastic discount factor Ana Beatriz Galvão PhD (Warwick) Senior Lecturer/Deputy Director PhD Finance/Econometrics a. Marika Karanassou PhD (London) Reader m. Giulio Fella PhD (London) Director for Undergraduates g. nonlinear unit root tests. Director for Undergraduates m. in econometrics of auctions. Andrea Carriero PhD (Milan) Senior Lecturer. MSc Finance and Econometrics in workers' training.ac.uk Financial econometrics and Empirical finance Marcelo’s research interests range from the econometrics of hedge funds to the application of nonparametric methods to high-frequency financial data. Econometrics.uk. she is currently studying intergenerational criminal behaviour. the Uncovered Interest Rate Parity. Marcelo Fernandes PhD (Brussels) Professor. including whether individuals learn from their peers while incarcerated. model selection. He is currently working on nonparametric identification of risk aversion from auction data and adaptive nonparametric testing for time series.carriero@qmul. and the New Keynesian Phillips Curve. Finally. Recently. forecasting. She is also interested in examining the mutual feedback between inflation and inflation uncertainty using GARCH-M-L models.fernandes@qmul. she is working on the impact of data revisions in forecasting macroeconomic [email protected] Microeconomic theory Nizar's research interests are mainly in microeconomic theory: asset markets in a general equilibrium [email protected]. The latter includes not only the analysis of volatility and jump transmission among markets.uk Macroeconomics. he has worked in the areas of revealed preference theory. Recent work includes he significance of focal points and signalling in coordination games. with applications to bounded rationality.uk Labour Economics.uk Time series econometrics. Marco Manacorda PhD (London) Reader m. and savings behaviour. social protection and welfare. evolutionary economics. Christopher Tyson PhD (Stanford) Lecturer c. unemployment and wage inequality. In particular. He has analysed the effects of labour market institutions on economic performance emphasizing interactions between the structure of labour markets.ac. His research so far has analysed topics such as wage institutions.lazarova@qmul. Winfried Koeniger PhD (Florence) Senior Lecturer w. in both developed and developing countries. schooling and child labour. he works on quantitative models with heterogeneous agents to understand consumption and saving patterns. He has investigated the meaning of the concept of rationality in economics. Stepana Lazarova PhD (LSE) Senior Lecturer s.j. structural breaks. He has also investigated the relevance and implications of a range of learning theories. Labour Markets Winfried works on macroeconomic issues with a particular focus on consumption and labour markets. 12 MSc Finance and Economics.ac. financial markets and product markets.tyson@qmul. She investigates linear models with breaks in parameters and examines the validity of bootstrap methods for models with strongly dependent processes. both in theory and in experimental set-ups.uk Microeconomic theory Christopher's primary research interests are in individual and group decision making. He has worked on various models including price dispersion and consumer loyalty. He is also a Research Associate at the Centre for Economic Performance (CEP) at the London School of Economics.koeniger@qmul. and experimental economics. with the ultimate aim of uncovering the microdeterminants of individual behaviour. He is also working on the Economic and Financial forecasting in the presence of structural breaks and long memory.qxd 07/07/2010 13:02 Page 14 Staff (cont) Aris Kartsaklas PhD (York) Lecturer a. dynamic bargaining. game theory. a CEPR Research Affiliate in the Public Policy and Labour Economics Programmes. His other interests include evolutionary games. Specifically.manacorda@qmul. Development EconomicsMarco's research focuses on how incentives are shaped by public policies. and views on self-organisation in economics.uk Market microstructure and time series econometrics Aris is working on the joint distribution of asset returns and trading volume implied by various market microstructure frameworks.ac. experimental economics Nick's research focuses on the theory of markets and economic behaviour. and the phenomenon of information contagion. and inter-temporal choice.ac. long memory and bootstrap Stepana works in the area of Time Series Econometrics. she focuses on time series with long memory. migration and family formation.ac.uk Microeconomic theory. choice under uncertainty.uk Macroeconomics with a particular focus on Consumption. MSc Finance and Econometrics Queen [email protected]@qmul. and analysed the link between ideas of economies as complex adaptive systems. and the measuring of the competitiveness of football leagues. Nick Vriend PhD (Florence) Professor and Deputy Head of School n. a Research Fellow at IZA (Bonn).ac.Pub6575 FinanceEconomics_v3_QM A5 Master NewKB. CESIFO (University of Munich) and CHILD (University of Turin). Moreover. University of London 13 . Pub6575 FinanceEconomics_v3_QM A5 Master NewKB. and P. Journal of Economic Dynamics and Control.. and A. Lavergne (2005): “Rate-optimal data-driven specification testing for regression models”. Vriend (2007): “Schelling's Spatial Proximity Model of Segregation Revisited”. Journal of Econometrics. Product Market Regulation and Firm Selection”. Manacorda M. Allouch N.qxd 07/07/2010 13:02 Page 16 Sample publications Allouch N. Guay (2006): “A data-driven nonparametric specification test for dynamic regression models”. Bosch-Domènech A. Journal of Econometrics. (2010): “Dominance solvability of dynamic bargaining games”. University of London 15 . and Kaminska. Snell (2003): “Testing for a Unit Root against Nonlinear STAR Models”. Journal of Econometrics. Journal of Economic Theory. C. (2008): “A simple test of the New Keynesian Phillips Curve”. Economics Letters. and A. Economic Theory. Tyson. Economic Journal. Galiani and M. Koeniger (2005): “Dealer Pricing of Consumer Credit”. Galvão (2008): “Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth”. Econometric Theory. Perrigne and Q. 68. and Fernandes M. American Economic Review. The Annals of Statistics. 525-574 Kapetanios G. Joao. Econometrica. Pancs R. and J. Journal of Public Economics. and M. (2007): Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange. (2002): “An equilibrium existence result with short selling”. Galvão and M. B. Hochgürtel and W.. Florenzano M. and A.. Clements. and J. M.. Fernandes M. Journal of Applied Econometrics. and N. Journal of Mathematical Economics. Koeniger W. Amaro de Matos. (2006): “Financial crashes as endogenous jumps: Estimation. (2008): “Management of a capital stock by Strotz's naive planner”. Journal of Econometrics. Economic Journal. Econometric Theory. 62p Submitted Guerre E. Guerre E. Tyson. Guay and S. S.. Lazarova (2009): Adaptive rate-optimal detection of small autocorrelation coefficients. S. Vriend (2003): “Imitation of Successful Behaviour in Cournot Markets”. Carriero A. Y. MSc Finance and Econometrics Queen Mary. Bertola G. Economic Theory. I (2006): “Financial factors. Marcellino (2007): “The transmission mechanism in a changing world”. Manacorda (2008): “Giving Children a Better Start: Preschool Attendance and School-Age Profiles”.. and N. Journal of Financial Econometrics Fernandes M. Kapetanios G. and the satisfying criterion”. M. (2008): “Cognitive constraints. A. macroeconomic information and the Expectations Theory of the term structure of interest rates”. Guerre E. (2006): “Child Labor and the Labor Supply of Other Household Members: Evidence from 1920 America”. Artis. Grammig (2006): “A Family of Autoregressive Conditional Duration Models”. Berlinski S. Carriero A. Journal of Econometrics. International Economic Review. Journal of Economic Dynamics and Control Fernandes M. Vuong (2000): Optimal nonparametric estimation of first-price auctions. Marco Aurelio dos Santos.J. C. (2008): “The asymptotic distribution of the cointegration rank estimator under the Akaike information criterion”. Journal of Public Economics. Grammig (2005): “Nonparametric Specification Tests for Conditional Duration Models”. (2004): “Edgeworth and Walrasian equilibrium of an arbitrage-free exchange economy”. B. and I. Tyson. C. Fernandes M. Favero C. and J. Shin and A. Guerre E. (2007): Testing the Markov property with high frequency data. contraction consistency. Journal of Business and Economic Statistics. and Rocha. 14 MSc Finance and Economics. Prat (2007): “Employment Protection. testing and forecasting. What did you gain from your time at the School of Economics and Finance? During my time at Queen Mary I gained an extraordinarily thorough theoretical background. University of London 17 . with lecturers often demystifying what I otherwise found to be formidable theory. I would definitely recommend the department to potential postgraduate students. and then continue with academic research. as well as job opportunities and a great cultural life. Careers Our careers service is run by a team of dedicated and professional staff. researching econometrics. from very different backgrounds.qxd 07/07/2010 13:02 Page 18 Graduates Graduate Profile: Gustavo Fruet Dias Studied: MSc Finance and Econometrics Why did you choose the School of Economics and Finance at Queen Mary for your postgraduate study? I chose Queen Mary because the Economics School is considered to be one of the best in the UK. it was this experience that made me decide to stay at Queen Mary and follow the PhD programme. I was also keen to live in London. 16 MSc Finance and Economics. often outside of normal office hours. What are your career plans in the next five years? I am considering some job offers in the Banking sector in London. You will also be able to use our extensive Careers Library. Students were heavily encouraged to practise textbook principles using the on-campus Eviews econometrics package. MSc Finance and Econometrics Queen Mary. What did you gain from your time at Queen Mary? A year on. This was complemented by working with professors with very varied research interests. In fact. I can honestly say that the degree struck the right balance of rigorous theoretical training with practical application. I honed soft skills through assessed group work and presentations. I particularly enjoyed the time seriesrelated courses. cultural diversity and professional recognition provided by Queen Mary. My plan is to finish the PhD. which certainly helped me in better understanding the key concepts. and run an extensive programme of seminars covering topics such as: interview skills. Along with developing my technical abilities. This led me to research the taught postgraduate degrees offered by Queen Mary’s Economics School. Professor Jonathan Haskel. And the staff were happy to take the time to go over any problems I had in grasping the material. When I was researching other institutions. how to deal with psychometric tests.Pub6575 FinanceEconomics_v3_QM A5 Master NewKB. and also discovered that he was leading cutting-edge research on quantifying intangible investment in the UK on behalf of the British government. Graduate profile: Sukhwnder Singh Ubhi Studied: MSc in Finance and Economics Why did you choose Queen Mary? I happened to see the former School Head. campus facilities. which have clear real-life applicability in both economics and finance. which are very important skills in any job. and surviving assessment centres. We offer advice through drop-in sessions and in-depth interviews. I was very impressed by the quality of Professor Haskel's arguments. a place where it’s easy to find people from all around the world. What are your career plans in the next five years? I am now in the first year of my PhD. Overall. debate UK innovation policy at an event in 2006. I found few able to provide the research excellence. The quality of teaching was excellent. ideally in a leading University in Europe. grounded in economic and financial theory and practice.qmul. the civil service and industry. banking. especially investment analysis and corporate finance issues such as optimal capital structure and mergers and acquisitions. ING Wholesale. Destination An international outlook The School of Economics and Finance at Queen Mary is made up of people from all over the world. 18 MSc Finance and Economics. and financial regulatory bodies.uk/postgraduate/mscprogrammes/msc-investment-and-finance Country of Origin Others 17% Event Management 8% Research 4% International Finance 15% Banking 33% Middle East 33% Europe 22% England 9% Investment Banking 23% Africa 6% Asia 30% MSc Banking and Finance This MSc in Banking and Finance offers specialised. South Chine Securities (UK) Ltd. In fact. For more information: www. This programme includes a dissertation component. preparing students to follow careers in finance.ac. 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. Mazars Pakistan.econ. Other former students work in leading European universities and in the City of London in institutions such as Barclays. NYSEEuronext. taught MSc programme is ideal for those aiming to pursue careers in the City. as well as those already working in these fields.ac. banks or elsewhere in the private sector. by percentage.econ. First destinations of our graduates since 2001 include employment and/or research at: the International Monetary Fund (IMF). These are taught by City practitioners who provide insiders’ views on issues of interest to the financial community. Ideal for students who aim to train as professional economists in the private sector or government.qmul. or research career. Graduates will be well placed to follow careers in investment management.ac.econ. intensive programme providing rigorous training in modern economic theory and applications. and is recognised as a Research Training degree by the ESRC under their “1+3” scheme. MSc Economics This is a well-established. financial statement.qmul. You can indicate a second choice of programme on your application form. The School runs a number of MSc degree programmes. The chart below shows student destinations. This programme offers professional postgraduate training.qxd 07/07/2010 13:02 Page 20 Graduate employment Alternative MSc programmes Former students have carved out successful careers in a variety of environments including: financial and academic institutions. HSBC. practical training in an environment of academic excellence. private banking sector. risk and portfolio management.uk/postgraduate/mscprogrammes/msc-banking-and-finance MSc Finance and Investment This programme aims to train students and professionals in areas of finance which have major practical and theoretical interest. international diversity of both faculty and students is a key ingredient of our success. Ernst&Young. Students cover a variety of perspectives on how financial markets operate.Pub6575 FinanceEconomics_v3_QM A5 Master NewKB. Female students are also well represented. A number of optional modules are also on offer. or follow an academic. For more information: www. derivatives and finance microstructure.uk/postgraduate/ msc-programme/msc-economics For more information: www. This new. JS Bank. CFA. making up almost 50 per cent of students. financial institutions. The chart below shows students’ country of origin by percentage. University of London 19 . MSc Finance and Econometrics Queen Mary. but courses generally start to fill up by the middle of March each year. all postgraduate Economics students were accommodated in Mile End’s award-winning Student Village. visit: MSc Finance and Economics www. University of London Mile End Road London E1 4NS email: s. Entry requirements You should have at least an upper-second class honours degree. For more information please see: www. on campus.qxd 07/07/2010 13:02 Page 22 Application procedure Accommodation In the 2009/10 academic year.uk/qmliving/accommodation Application All candidates should include a full academic transcript (a record of courses taken and grades achieved) and two academic references with their applications. Some background in quantitative subjects is advisable.Pub6575 FinanceEconomics_v3_QM A5 Master NewKB. For further information please contact the Postgraduate Programme Manager: Sandra Adams School of Economics and Finance Queen Mary.uk/postgraduate/mscprogrammes/msc-finance-and-economics MSc Finance and Econometrics www. the accomodation office can also help you find private accommodation nearby if you prefer.econ. normally.qmul.adams@qmul. Further Information The School welcomes informal enquiries about any aspect of its graduate programmes. However. The School reserves the right not to process applications which arrive later than July. The deadline for applications is mid-July. but not strictly.uk/postgraduate/mscprogrammes/msc-finance -and-econometrics 20 MSc Finance and Economics.ac. in Economics.qmul.qmul. Students are expected to sit pre-sessional statistics and mathematics examinations following intensive pre-sessional modules in September.ac.ac.ac.uk Tel +44 (0)20 7882 7356 Fax +44 (0)20 8983 3580 For more information and application pack. This should be the case for future years. MSc Finance and Econometrics . or equivalent.econ. qxd 07/07/2010 13:02 Page 24 This guide has been produced by the Publications and Web Office for the School of Economics and Finance – Pub6575 For further information contact: School of Economics and Finance Queen Mary.ac.uk .econ.Pub6575 FinanceEconomics_v3_QM A5 Master NewKB.qmul. University of London Mile End Road London E1 4NS Tel: +44 (0)20 7882 7356 Fax: +44 (0)20 8983 3580 email: [email protected] www.