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Queen Mary, University of London

MSc Finance and Economics
MSc Finance and Econometrics
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Welcome Contents

Dear Applicant,
The programme 2
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
The modules 5
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.
Staff 10
Our faculty members are top quality economists who
publish in the best academic journals and act as consultants to major Sample publications 14
Institutions, including the Bank of England.

Graduate Study at the School of Economics and Finance is excellent Graduates 16

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 the City,
Graduate employment 18
in leading universities, and in private and public institutions in various parts
of the world. Alternative MSc programmes 19
Our MSc programmes in Finance and Economics and in Finance and
Econometrics are designed to provide you with all the analytical skills and Accommodation and application procedure 20
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

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.

Queen Mary, University of London 01

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The programme
Programme description
The MSc in Finance and Economics, and the
MSc in Finance and Econometrics, are two well-
established specialist programmes aiming at
providing graduate students and professionals
with a rigorous training and strong analytical
background in finance, financial economics
and econometrics.
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.
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.
02 MSc Finance and Economics, MSc Finance and Econometrics
Research strength
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.
We combine an excellent international reputation
with a friendly and informal atmosphere.
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. Based on a grade point
average score, Economics at the College was
ranked among the top six departments in the UK
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.
Postgraduate resources Pre-semester modules
You will have access to excellent computing Pre-semester modules in mathematics
facilities, offering an ideal environment in which and statistics take place over two weeks in
to practise applied analysis. Standard software September. They are especially designed for
packages for data analysis, simulation, and word students who want to review topics such as
processing are available, including GAUSS, probability and matrix algebra. You will sit exams
Eviews, PCgive, RATS, Microfit, and Stata. at the end of modules.
We also provide full subscription access to
Datastream. Duration
You will be studying over a 12 month period,
Teaching style beginning in September with the mathematics
Modules are taught in a three hour block format. and statistics pre-semester modules. You can
The first two hours deliver the core theoretical also study part-time over a 24 month period.
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.
Dissertation
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.
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 counts for four modules.
Queen Mary, University of London 03
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The programme (cont) The modules

Programme Timetable for MSc in Finance and Economics Core modules: with outside investors; we then turn to outsiders’
incentives, recognising that investors play an
Pre-Semester A Semester A Semester B Post-Semester B
Advanced Asset important monitoring role in the firms they fund.

Mathematics Quantitative Asset Advanced Asset 10,000 word dissertation Pricing Modelling We then study models linking security returns
Pricing Pricing and and control rights. Finally, the interaction
Modelling This module covers some of the topics analysed
between firms’ financial decisions and
by the modern theory of asset pricing. After
product market behaviour is addressed.
Statistics Econometrics A Financial Derivatives a recap of CAPM, we concentrate on the
Arrow¬Debreu approach for valuing cash flows.
Corporate Finance Option Next, we cover the consumption-based approach Econometrics A
to asset pricing. We conclude with an overview The purpose of this module is to provide you
Option Option of the theories that investigate the effects of with the necessary tools for formalising a
asymmetric information in financial markets. hypothesis of interest and testing it, writing a
simple econometric model, estimating it and
Programme Timetable for MSc in Finance and Econometrics Corporate Finance conducting inference. You will start with a review
of the classical linear model, and then analyse
Pre-Semester A Semester A Semester B Post-Semester B This module aims to develop your understanding
finite sample and asymptotic properties of
of how firms raise external finance and design
ordinary least squares, instrumental variables
Mathematics Quantitative Asset Econometrics B 10,000 word dissertation their capital structure.
and feasible generalised least squares, under
Pricing
general conditions. The case of dependent
In the first three lectures we will examine the
stationary observations is also covered. You will
Statistics Econometrics A Financial Econometrics assumption that the firm’s cash flows are
also study nonlinear estimation methods, and in
exogenous with respect to financial decisions.
Time Series Analysis Option particular the generalised method of moments.
In this framework you will study the
Modigliani¬Miller theorems stating which
Option Option conditions make capital structure irrelevant, Econometrics B
and derive the optimal debt/equity mix in the
• Macroeconometrics
presence of taxes and costly bankruptcy.
This module is designed to provide you with a
The rest of the module addresses the issue of general knowledge of, and the basic methods
how a firm’s financial and governance structure used, in the current practice of
affects its value once information problems macroeconometrics.
between firms’ insiders and investors are taken You will cover a brief history of
into account. We first focus on the incentives macroeconometrics, including current
of the firm’s insiders and study how capital methodological issues, main characteristics
structure impacts their agency relationship and fundamental tools. You will examine
three important aspects: dynamics and
interdependence; interpretation of econometric

04 MSc Finance and Economics, MSc Finance and Econometrics Queen Mary, University of London 05
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The modules (cont)
results; expectation and exogeneity. You
will then go through basic models with
cointegrated time series, and discuss
how to link macroeconometric models
to macroeconomic theory.
• 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. All
the relevant concepts are discussed based on the
06 MSc Finance and Economics, MSc Finance and Econometrics
discrete time binomial model and the continuous
time Black-Scholes model. The extensions of the
Black-Scholes model are also discussed.
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.
Quantitative Asset Pricing
This module provides an introduction to the area
of finance. You will cover the following topics:
present value, valuation of common stocks,
market making, trading systems, term structure
of interest rates, bond valuation and duration,
bond convexity and immunization, hedging and
butterfly trades in the treasury bond market,
measures of risk, portfolio analysis and two fund
separation theorem, capital asset pricing models,
and arbitrage pricing theory models.
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:
Empirical Macroeconomics
This course 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
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.
Queen Mary, University of London 07
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The modules (cont)
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.
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,
08 MSc Finance and Economics, MSc Finance and Econometrics
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
analyzing economic questions mathematically.
The course complements the department’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 course 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, optimization,
comparative statics, dynamic programming,
and optimal control.
Microeconomics A
This module will give you a firm grounding in
microeconomic theory. 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. The module begins with the analysis
of individual decision making, in particular
choice under uncertainty and consumer
choice, with special emphasis given to
duality techniques.
You will then move on to the analysis of multi-
person decision making, both in the context
of strategic interaction (game theory) and in
competitive markets (general equilibrium).
Lastly you will cover a general review of
welfare economics and mechanism design.
Microeconomics B
In the Microeconomics B course we pursue
two goals. First, we focus on noncooperative
game theory, and the economics of information.
Topics include: Modeling Competitive Situations,
Solution Concepts, Incomplete Information,
Repeated Play, Bargaining, Moral Hazard,
Adverse Selection, Market Signalling, Auctions
and Mechanism Design. The second goal is to
get a better understanding of some topics in
recent microeconomics literature, with each
student writing a short essay on the basis of
some assigned literature.
Public Economics
Public Economics is the study of the role of
government in the economy. We will take a
modern general equilibrium and game theoretic
approach instead of the traditional partial
equilibrium and institutional avenues. 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.
Students interested in the policy implications
of public finance issues will also find this
background very beneficial. Primary attention
will be given to the expenditure side of the
economy, especially to externalities, public
goods, and local public goods. We will also
discuss several emerging approaches to
applied welfare analysis under non-standard
(“behavioral”) assumptions concerning
consumer choice.
Queen Mary, University of London 09
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Staff
Nizar Allouch PhD (Paris)
Reader
n.allouch@qmul.ac.uk
Microeconomic theory
Nizar's research interests are mainly in
microeconomic theory: asset markets in a
general equilibrium setting, public economics
and network economies. He is currently working
on Tiebout economies with overlapping
jurisdictions and memberships and to some
game-theoretic and pricing applications to
general networks.
Andrea Carriero PhD (Milan)
Senior Lecturer,
Director for MSc Finance and Economics,
MSc Finance and Econometrics
a.carriero@qmul.ac.uk
Econometrics
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.
Giulio Fella PhD (London)
Director for Undergraduates
g.fella@qmul.ac.uk
Macroeconomics, 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
10 MSc Finance and Economics, MSc Finance and Econometrics
in workers' training. He has worked on optimal
insurance contracts in models of search
unemployment. His current interests lie in
the area of quantitative equilibrium models.
Specifically, heterogeneous agents with
applications to the evaluation of effectiveness
of alternative policies in shaping educational
choices and incentives to engage in criminal
activity.
Marcelo Fernandes PhD (Brussels)
Professor, Director for Undergraduates
m.fernandes@qmul.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. The latter includes not only the
analysis of volatility and jump transmission
among markets, but also topics relating to
empirical market microstructure. He is also
working on a preferences-free approach for the
identification of the stochastic discount factor
such as symmetry and independence. As for
empirical finance, 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.ferreira@qmul.ac.uk
Applied econometrics, forecasting,
and empirical macroeconomics
Ana's research interests are mainly focused on
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. Recently, she is working on the impact
of data revisions in forecasting macroeconomic
aggregates.
Emmanuel Guerre PhD (Paris)
Director PhD Finance/Econometrics
e.guerre@qmul.ac.uk
Econometrics
Emmanuel’s research interests are in
econometrics, and in particular, in econometrics
of auctions, adaptive nonparametric specification
testing and time series. He is currently working
on nonparametric identification of risk aversion
from auction data and adaptive nonparametric
testing for time series.
Randi Haljmarsson PhD (Yale University)
Lecturer
Labor and Public Economics.
Randi’s research focuses on empirical questions
related to the economics of crime. Some of her
research has focused on the impact of
incarceration on education and criminal
behaviour, including whether individuals learn
from their peers while incarcerated. Randi has
also studied policy driven questions, such as
whether the death penalty ha a deterrent effect
and whether gun shows increase local mortality
rates. Finally, she is currently studying
intergenerational criminal behaviour.
George Kapetanios PhD (Cambridge)
Professor and Head of School
g.kapetanios@qmul.ac.uk.
Econometrics, Macroeconomics, Statistics
The areas of econometrics George is interested
in are: the analysis of nonlinear econometric
models; nonlinear unit root tests; factor models
for large datasets; model selection; tests of
rank; tests of nonlinearity; and 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. 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 PhD (London)
Reader
m.karanassou@qmul.ac.uk
Macroeconomics, applied econometrics,
time series analysis and empirical finance
Marika’s research interests lie in the dynamics of
inflation and unemployment, the Phillips curve,
and the natural rate of unemployment. Her
theoretical work relies on time series analysis
and is supported by empirical models that apply
macro-econometric techniques. She has
developed the chain reaction theory of
unemployment and has defined measures of its
persistence and responsiveness. Her research
questions the central role of the NRU in forming
policy decisions, challenges the conventional
wisdom that inflation and unemployment are
unrelated in the long-run, and proposes a holistic
framework to jointly explain the evolution of
inflation and unemployment. She is also
interested in examining the mutual feedback
between inflation and inflation uncertainty using
GARCH-M-L models, and in testing for mean
reversion in financial time series.
Queen Mary, University of London 11
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Staff (cont)
Aris Kartsaklas PhD (York)
Lecturer
a.kartsaklas@qmul.ac.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. He is also
working on the Economic and Financial
forecasting in the presence of structural breaks
and long memory.
Winfried Koeniger PhD (Florence)
Senior Lecturer
w.koeniger@qmul.ac.uk
Macroeconomics with a particular focus
on Consumption, Labour Markets
Winfried works on macroeconomic issues with
a particular focus on consumption and labour
markets. He has analysed the effects of labour
market institutions on economic performance
emphasizing interactions between the structure
of labour markets, financial markets and product
markets. Moreover, he works on quantitative
models with heterogeneous agents to understand
consumption and saving patterns.
Stepana Lazarova PhD (LSE)
Senior Lecturer
s.lazarova@qmul.ac.uk
Time series econometrics, structural breaks,
long memory and bootstrap
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.
12 MSc Finance and Economics, MSc Finance and Econometrics
Marco Manacorda PhD (London) Nick Vriend PhD (Florence) views on self-organisation in economics. He has
Reader Professor and Deputy Head of School worked on various models including price
m.manacorda@qmul.ac.uk n.vriend@qmul.ac.uk dispersion and consumer loyalty, and the
Labour Economics, Development Microeconomic theory, evolutionary economics, phenomenon of information contagion. He has
EconomicsMarco's research focuses on how experimental economics also investigated the relevance and implications
incentives are shaped by public policies, with Nick's research focuses on the theory of markets of a range of learning theories, both in theory and
the ultimate aim of uncovering the micro- and economic behaviour. He has investigated in experimental set-ups. Recent work includes
determinants of individual behaviour. His the meaning of the concept of rationality in he significance of focal points and signalling in
research so far has analysed topics such as wage economics, and analysed the link between ideas coordination games, and the measuring of the
institutions, schooling and child labour, migration of economies as complex adaptive systems, and competitiveness of football leagues.
and family formation, social protection and
welfare, unemployment and wage inequality, in
both developed and developing countries. He 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; a Research Fellow at IZA (Bonn),
CESIFO (University of Munich) and CHILD
(University of Turin).
Christopher Tyson PhD (Stanford)
Lecturer
c.j.tyson@qmul.ac.uk
Microeconomic theory
Christopher's primary research interests are
in individual and group decision making.
Specifically, he has worked in the areas of
revealed preference theory, game theory, and
inter-temporal choice, with applications to
bounded rationality, dynamic bargaining, and
savings behaviour. His other interests include
evolutionary games, choice under uncertainty,
and experimental economics.
Queen Mary, University of London 13
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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.
14 MSc Finance and Economics, MSc Finance and Econometrics
Amaro de Matos, Joao, and Fernandes M., Kapetanios G., Y. Shin and A. Snell (2003): Pancs R. and N. Vriend (2007): “Schelling's
(2007): Testing the Markov property with high “Testing for a Unit Root against Nonlinear STAR Spatial Proximity Model of Segregation
frequency data, Journal of Econometrics. Models”, Journal of Econometrics. Revisited”, Journal of Public Economics.
Fernandes M. and Rocha, Marco Aurelio dos Kapetanios G. (2008): “The asymptotic Tyson, C.J. (2010): “Dominance solvability of
Santos, (2007): Are price limits on futures distribution of the cointegration rank estimator dynamic bargaining games”, Economic Theory.
markets that cool? Evidence from the Brazilian under the Akaike information criterion”,
Mercantile and Futures Exchange, Journal of Econometric Theory. Tyson, C. (2008): “Cognitive constraints,
Financial Econometrics contraction consistency, and the satisfying
Koeniger W. and J. Prat (2007): “Employment criterion”, Journal of Economic Theory.
Fernandes M. and J. Grammig (2006): “A Family Protection, Product Market Regulation and Firm
of Autoregressive Conditional Duration Models”, Selection”, Economic Journal. Tyson, C. (2008): “Management of a capital stock
Journal of Econometrics. by Strotz's naive planner”, Journal of Economic
Manacorda M. (2006): “Child Labor and the Dynamics and Control.
Fernandes M. (2006): “Financial crashes as Labor Supply of Other Household Members:
endogenous jumps: Estimation, testing and Evidence from 1920 America”, American
forecasting, Journal of Economic Dynamics Economic Review.
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
Queen Mary, University of London 15
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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. When I was researching other
institutions, I found few able to provide the
research excellence, campus facilities,
cultural diversity and professional recognition
provided by Queen Mary. I was also keen to
live in London, a place where it’s easy to find
people from all around the world, as well as
job opportunities and a great cultural life.
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. This was complemented by
working with professors with very varied
research interests, from very different
backgrounds. In fact, it was this experience
that made me decide to stay at Queen Mary
and follow the PhD programme.
What are your career plans in the next five
years?
I am now in the first year of my PhD,
researching econometrics. My plan is to finish
the PhD, and then continue with academic
research, ideally in a leading University in
Europe.
16 MSc Finance and Economics, MSc Finance and Econometrics
Graduate profile: Sukhwnder Singh Ubhi
Studied: MSc in Finance and Economics Students were heavily encouraged to practise
textbook principles using the on-campus
Why did you choose Queen Mary? Eviews econometrics package, which
I happened to see the former School Head, certainly helped me in better understanding
Professor Jonathan Haskel, debate UK
the key concepts. Along with developing my
innovation policy at an event in 2006. I was very technical abilities, I honed soft skills through
impressed by the quality of Professor Haskel's
assessed group work and presentations,
arguments, and also discovered that he was which are very important skills in any job.
leading cutting-edge research on quantifying
The quality of teaching was excellent, with
intangible investment in the UK on behalf of the lecturers often demystifying what I otherwise
British government. This led me to research the
found to be formidable theory. And the staff
taught postgraduate degrees offered by Queen were happy to take the time to go over any
Mary’s Economics School.
problems I had in grasping the material, often
What did you gain from your time at Queen Mary? outside of normal office hours. Overall, I would
A year on, I can honestly say that the degree definitely recommend the department to
struck the right balance of rigorous theoretical potential postgraduate students.
training with practical application. I What are your career plans in the next five years?
particularly enjoyed the time series-
I am considering some job offers in the
related courses, which have clear real-life Banking sector in London.
applicability in both economics and finance.
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.
Queen Mary, University of London 17
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Graduate employment Alternative MSc programmes

Former students have carved out successful An international outlook The School runs a number of MSc degree For more information:
careers in a variety of environments including: programmes. You can indicate a second choice www.econ.qmul.ac.uk/postgraduate/msc-
The School of Economics and Finance at
financial and academic institutions, the civil of programme on your application form. You will programmes/msc-banking-and-finance
Queen Mary is made up of people from all
service and industry. be considered for entry on to your second choice
over the world. In fact, international diversity MSc Finance and Investment
should we have reached the maximum number
First destinations of our graduates since 2001 of both faculty and students is a key ingredient This programme aims to train students and
of students on your first choice of programme.
include employment and/or research at: the of our success. Female students are also well professionals in areas of finance which have
International Monetary Fund (IMF), CFA, NYSE- represented, making up almost 50 per cent of MSc Economics major practical and theoretical interest,
Euronext, Mazars Pakistan, JS Bank, South Chine students. This is a well-established, intensive programme especially investment analysis and corporate
Securities (UK) Ltd, ING Wholesale. Other former providing rigorous training in modern economic finance issues such as optimal capital structure
The chart below shows students’ country of origin
students work in leading European universities theory and applications. and mergers and acquisitions, banking,
by percentage.
and in the City of London in institutions such as derivatives and finance microstructure.
Barclays, HSBC, Ernst&Young. Ideal for students who aim to train as professional
economists in the private sector or government, This programme offers professional postgraduate
The chart below shows student destinations, or follow an academic, or research career. This training, preparing students to follow careers in
by percentage. programme includes a dissertation component, finance, banks or elsewhere in the private sector.
and is recognised as a Research Training degree A number of optional modules are also on offer.
Destination Country of Origin by the ESRC under their “1+3” scheme. These are taught by City practitioners who
For more information: provide insiders’ views on issues of interest
www.econ.qmul.ac.uk/postgraduate/ to the financial community.
msc-programme/msc-economics For more information:
Others www.econ.qmul.ac.uk/postgraduate/msc-
Banking Europe MSc Banking and Finance programmes/msc-investment-and-finance
17%
33% Middle 22% This MSc in Banking and Finance offers
East specialised, practical training in an environment
Event of academic excellence. Students cover a variety
33%
Management 8% of perspectives on how financial markets operate,
England
Research 4% grounded in economic and financial theory and
9%
practice.
International This new, taught MSc programme is ideal for
Finance Investment Africa Asia
those aiming to pursue careers in the City,
15% Banking 6% 30%
private banking sector, financial institutions,
23% 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.

18 MSc Finance and Economics, MSc Finance and Econometrics Queen Mary, University of London 19
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Application procedure
Accommodation
In the 2009/10 academic year, all postgraduate
Economics students were accommodated in
Mile End’s award-winning Student Village, on
campus. This should be the case for future years.
However, the accomodation office can also help
you find private accommodation nearby if you
prefer. For more information please see:
www.qmul.ac.uk/qmliving/accommodation
Entry requirements
You should have at least an upper-second
class honours degree, or equivalent, normally,
but not strictly, in Economics. Some background
in quantitative subjects is advisable. Students
are expected to sit pre-sessional statistics and
mathematics examinations following intensive
pre-sessional modules in September.
20 MSc Finance and Economics, MSc Finance and Econometrics
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: s.adams@qmul.ac.uk
Tel +44 (0)20 7882 7356
Fax +44 (0)20 8983 3580
For more information and application pack, visit:
MSc Finance and Economics
www.econ.qmul.ac.uk/postgraduate/msc-
programmes/msc-finance-and-economics
MSc Finance and Econometrics
www.econ.qmul.ac.uk/postgraduate/msc-
programmes/msc-finance -and-econometrics
Pub6575 FinanceEconomics_v3_QM A5 Master NewKB.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, University of London
Mile End Road
London
E1 4NS
Tel: +44 (0)20 7882 7356
Fax: +44 (0)20 8983 3580
email: s.adams@qmul.ac.uk
www.econ.qmul.ac.uk