Msc Finance and Economics Eco No Metrics 2010 11 (2)

Queen Mary, University of LondonMSc Finance and EconomicsMSc Finance and Econometrics

Welcome

Dear Applicant,

Welcome to the School of Economics and Finance at Queen Mary, University of London. You can lookforward to joining one of the best EconomicsDepartments in the UK, ranked 6th in the UK in thelatest 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 bestacademic journals and act as consultants to major Institutions, includingthe Bank of England.

Graduate Study at the School of Economics and Finance is excellentpreparation for careers in a number of fields. Previous generations ofgraduate students have followed successful careers as financialeconomists, quantitative analysts and financial econometricians inLondon’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 andEconometrics are designed to provide you with all the analytical skills andknowledge necessary for either a career in finance in the private or publicsectors, or academic research in the UK or abroad.

What lies ahead of you is a very challenging year. As a team of academicand administrative staff, we look forward to welcoming you in Septemberand hope that your time with us will be a most productive and enjoyableexperience.

Dr Andrea Carriero Programme director MSc Finance and EconomicsMSc Finance and Econometrics

Contents

Queen Mary, University of London 01

The programme 2

The modules 5

Staff 10

Sample publications 18

Student profiles 20

Graduate employment 22

Alternative MSc programmes 23

Accommodation and application procedure 24

The information given in this brochure is correct at the time of goingto press. The College reserves the right to modify or cancel any statement in itand accepts no responsibility for the consequences of any suchchanges.

The programme

Programme descriptionThe MSc in Finance and Economics, and theMSc in Finance and Econometrics, are two well-established specialist programmes aiming atproviding graduate students and professionalswith a rigorous training and strong analyticalbackground in finance, financial economics andeconometrics.

The intensive programmes cover all the analyticaltools and the advanced materials in quantitativeasset pricing, econometrics, financial derivatives,financial econometrics.You will also cover areasof specialisation such as asset pricing andmodelling, international finance, time seriesanalysis and corporate finance. Bothprogrammes have a research dissertationcomponent and are recognised as ResearchTraining degrees by the ESRC under their "1+3"scheme.

The programmes are designed for students and professionals who aim to pursue careers asfinancial economists, quantitative analysts andfinancial econometricians in the private sector, in the government or in international financialinstitutions. They are also suitable preparation for an academic career.

You will take four modules per semester, followedby a 10,000 word dissertation. There are alsopre-sessional modules in maths and statistics,providing a good opportunity for students torefresh their knowledge of these areas. Moredetailed module information follows in thisbrochure.

Research strengthThe School of Economics and Finance iscommitted to excellence in research andteaching. Our expertise covers three key areas:economic theory, econometrics and finance, and applied economics. We regularly publish the results of our research in leading economicjournals.

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

Applied learning

The School has developed and nurturedcollaborations with a number of public andprivate institutions. This provides plenty ofopportunity for student placements and researchco-operation.

We also organise a number of additional, optional modules, the topics of which vary fromyear to year. These modules are taught by Cityprofessionals, who are well-placed to give aninsider's view on issues of interest to the financialcommunity.

02MSc Finance and Economics, MSc Finance and Econometrics

High student satisfaction

In the 2010 National Student Survey, over 88 percent of our students were pleased with theirexperience of studying at Queen Mary

Postgraduate resourcesYou will have access to excellent computingfacilities, offering an ideal environment in whichto practise applied analysis. Standard softwarepackages for data analysis, simulation, and wordprocessing are available, including GAUSS,Eviews, PCgive, RATS, Microfit, and Stata. We also provide full subscription access toDatastream.

Teaching style

Our School is made up of academics who areexperts in their field. Regularly published in leadingjournals such as American Economic Review,Quarterly Journal of Economics, Econometrica andJournal of Financial Economics, we are activelyengaged in research. This feeds into the quality ofyour lectures and tutorials.

Modules are taught in a three hour block format.The first two hours deliver the core theoreticaland technical concepts; these are then applied in the remaining hour. You will be assigned apersonal tutor who will support you throughoutyour studies.

DissertationOver the summer term, you will write a 10,000word dissertation. Under supervision, you willlearn how to undertake applied analysis, runestimations and formulate and test hypotheses.

Assessment The grade for each module is assessed throughcoursework, which counts for 20-25 per cent ofthe final marks, along with a written exam in May.The 10,000 word dissertation written over thesummer carries a weight equivalent to fourmodules.

Pre-semester modules Pre-semester modules in mathematics and statistics take place over two weeks inSeptember. They are especially designed forstudents who want to review topics such asprobability and matrix algebra. You will sit exams at the end of modules.

DurationYou will be studying over a 12 month period,beginning in September with the mathematicsand statistics pre-semester modules. You canalso study part-time over a 24 month period.


The programme (cont)


Pre-semester A

Mathematics

Statistics

Semester A

Quantitative AssetPricing

Econometrics A

Corporate Finance

Option

Semester B

Advanced AssetPricing andModelling

Financial Derivatives

Option

Option

Post-Semester B

10,000 word dissertation

Programme timetable for MSc in Finance and Economics

Pre-semester A

Mathematics

Statistics

Semester A

Quantitative AssetPricing

Econometrics A

Time Series Analysis

Option

Semester B

Econometrics B

Financial Econometrics

Option

Option

Post-Semester B

10,000 word dissertation

Programme timetable for MSc in Finance and Econometrics

The modules

Core modules:Advanced Asset Pricing ModellingThis module covers some of the topics analysedby the modern theory of asset pricing. After arecap of CAPM, we concentrate on the Arrow-Debreu approach for valuing cash flows. Next, we cover the consumption-based approach toasset pricing. We conclude with an overview of the theories that investigate the effects ofasymmetric information in financial markets.

Corporate FinanceThis module aims to develop your understandingof how firms raise external finance and designtheir 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 whichconditions make capital structure irrelevant, and derive the optimal debt/equity mix in thepresence of taxes and costly bankruptcy.

The rest of the module addresses the issue ofhow a firm's financial and governance structureaffects its value once information problemsbetween firms' insiders and investors are takeninto account. We first focus on the incentives of the firm's insiders and study how capitalstructure impacts their agency relationship with

outside investors; we then turn to outsiders'incentives, recognising that investors play animportant monitoring role in the firms they fund.

We then study models linking security returnsand control rights. Finally, the interactionbetween firms' financial decisions and productmarket behaviour is addressed.

Econometrics AThe purpose of this module is to provide you with the necessary tools for formalising ahypothesis of interest and testing it, writing asimple econometric model, estimating it andconducting inference. You will start with a reviewof the classical linear model, and then analysefinite sample and asymptotic properties ofordinary least squares, instrumental variablesand feasible generalised least squares, undergeneral conditions. The case of dependentstationary observations is also covered. You willalso study nonlinear estimation methods, and inparticular 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 ofmacroeconometrics.

You will cover a brief history ofmacroeconometrics, including currentmethodological issues, main characteristics and fundamental tools. You will examine threeimportant aspects: dynamics and results;expectation and exogeneity. You will then go


The modules (cont)

through basic models with cointegratedtime series, and discuss how to linkmacroeconometric models to macroeconomictheory.

• Microeconometrics

This module consists of two parts. The first partdeals with the quantitative analysis of panel data.Such data sets contain information on thebehaviour of different economic agents(consumers, firms, workers etc.) over time.

You will discuss estimation and inferencemethods for both static and dynamic panel datamodels which allow for heterogeneity amongagents. We pay special attention to weakinstrument and measurement error problemsand discuss unit root testing procedures.

The second part of the module is concerned witheconometric techniques for models involvinglimited dependent variables or qualitativevariables.

Financial DerivativesThe purpose of this module is to provide you withan understanding of the theory and practice ofpricing and hedging derivative securities. Theseinclude forward and futures contracts, swaps,and many different types of options. This modulecovers diverse areas of derivatives, such asequity and index derivatives, foreign currencyderivatives 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 discrete time binomial model and thecontinuous time Black-Scholes model. Theextensions of the Black-Scholes model are also discussed.

Financial EconometricsThis module discusses econometricmethodology for dealing with problems in the area of financial economics and providesstudents 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 returnsdistributions; predictability of asset returns;econometric tests of capital markets efficiencyand asset pricing models; inter-temporal modelsof time-varying risk premium; nonlinearities infinancial data; value at risk; pricing derivativeswith stochastic volatility (or GARCH) models;modelling non-synchronous trading; andnumerical methods in finance.

Quantitative Asset PricingThis module provides an introduction to the areaof finance. You will cover the following topics:present value, valuation of common stocks,market making, trading systems, term structureof interest rates, bond valuation and duration,bond convexity and immunisation, hedging andbutterfly trades in the treasury bond market,measures of risk, portfolio analysis and two fundseparation theorem, capital asset pricing models,and arbitrage pricing theory models.



Time Series AnalysisThis module aims to provide a foundation in timeseries analysis in general, and in the econometricanalysis of economic time series in particular,offering theory and methods at a level consonantwith an advanced training for a career economist.Topics include: an introduction to time seriesanalysis for econometrics and finance; vectorlinear time series models; continuous timestochastic models; strong dependence and long memory models; and unit roots and cointegration.

Module options include:Empirical MacroeconomicsThis module studies modern econometricmethods to estimate, evaluate and forecast withstructural macroeconomic models. It coversmethods that are popular in central banks and inpolicy institutions. The methods covered allow usto extract cyclical information, solve and estimatestructural models, evaluate the effect of monetarypolicy, and forecast variables such as inflationand output growth using econometric software.

International FinanceThe process of financial globalisation hasemphasised the importance of internationalcapital flows for the understanding of exchangerate dynamic behaviour. For this purpose, theemphasis of the module will be on models forexchange rate determination which is an area ofcentral importance to major financial institutions.

You will focus specifically on (purchasing powerand interest rate) parity relationships; the use ofthe forward rate as an optimal predictor of thespot nominal exchange rate; the asset price viewof exchange rate (using either flexible or stickyprices) with financial assets as perfectsubstitutes; the international CAPM and the (firstgeneration) models of currency crises. Particularattention will be paid to the implementation of the Vector Autoregression Model (VAR) as aneconometric methodology to test some of thetheoretical models.

Labour EconomicsThis module will give you an understanding ofsome of the issues in contemporary laboureconomics, with an emphasis on the empiricalside of the discipline.

You will cover a mix of theoretical economic, data analysis and econometric techniques. Thisreflects the nature of a discipline which is eclecticand constantly 'on the move'. This illustrates howeconomists uncover the effect of policy reformsand changes in opportunities and constraints in the labour market using micro-data. Thismodule is designed to appeal to both prospectiveresearchers and those wishing to pursue a careerin government, international institutions andconsultation with public and private bodies.

This module is not intended to be an exhaustivesurvey of all of the relevant issues in laboureconomics. The topics chosen are selected in order to illustrate the varieties of questionslabour economists ask themselves, and how they proceed to solve them.

The modules (cont)

Topics covered include: introduction to empiricallabour economics; human capital and returns toeducation; school quality; changes in the wagestructure; changes in employment structure; USvs. Europe; the employment effect of minimumwages; labour supply; immigration; crime;neighbourhood effects.

Macroeconomics AThis module deals with the long-run growth ofGDP and its short-run fluctuations. You will startby analysing the traditional models of economicgrowth theory, ie the Solow-Swan model and theRamsey-Cass-Koopmans model. Within theframework of these models you will study thecentral questions of growth theory as well as theeffects of government expenditure onmacroeconomic variables. You will then discussthe most important ideas of endogenous growththeory, including research and development,human capital formation, and knowledgecreation.

The second part of the module deals with twoclasses of theories of aggregate fluctuations, ie,real-business-cycle theories and Keynesiantheories. Whereas real-business-cycle theoriesassume flexible prices and market clearing,Keynesian theories proceed from the assumptionof nominal stickiness and market failure. Wediscuss possible reasons why prices and wagesare sticky and analyse the implications of thisfact.

Macroeconomics BThis module covers a number of standard topicsin macroeconomics. The first part of the moduledeals with individual and aggregate consumptionand saving behaviour as the outcome of optimalinter-temporal choice. It uses the framework tostudy a number of policy issues including theeffect, and optimal mix, of tax versus debtfinancing of government expenditure.

The second part of the module presents theoriesof firms' investment in physical capital and theirimplications for aggregate investment. Lastly youwill study two ways of looking at unemploymentas an equilibrium outcome. The first viewhighlights the role of search frictions. The second one focuses on real wage inflexibility.

Mathematics for EconomistsThe purpose of this course is to equip studentswith the mathematical tools needed to studyeconomics and related fields at the postgraduatelevel and to work in these areas as a researcher orpractitioner. The emphasis is on both (1)mastering specific techniques that are widelyused in economic theory and finance, and (2)developing a language, a conceptual framework,and a standard of argument appropriate foranalysing economic questions mathematically.The module complements the School'spostgraduate micro and macro theorysequences, and together with these modules willenable the successful student to read researchpapers in theoretical and applied economics.


As time permits, the module will cover some or allof 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 functiontheorems, fixed point theorems, optimisation,comparative statics, dynamic programming, andoptimal control.

Microeconomics ATogether with Microeconomics B, this modulewill give you a firm grounding in modernmicroeconomic theory.

Topics to be covered in the first term include:choice, preference, and utility; classicalconsumer and producer theory; choice underuncertainty; Walrasian (competitive) equilibriumand the fundamental welfare theorems; generalequilibrium over time and under uncertainty; andmarket failure.

Microeconomics BTogether with Microeconomics A, this module will give you a firm grounding in modernmicroeconomic theory.

Topics to be covered in the second term include:games in strategic and extensive form; Nashequilibrium and its refinements; games withincomplete information; repeated games;adverse selection, signaling, and screening; theprincipal-agent problem; incentive theory andmechanism design.

Topics for Macro-LabourThis module provides an overview of some of themain current topics in macro-labour. It combinestypical empirical tools of labour economics withequilibrium models of the macroeconomy tointerpret the main stylised facts of modern labourmarkets and draw policy implications. Themodule has a strong applied focus. For eachmajor topic covered we will derive testableimplications, provide insights into the researchmethodology, discuss the advantages andLimitations of existing empirical work, and draw policy conclusions.



Staff

Staff researchJose-Miguel Albala-Bertrand Development Economics, Macroeconomics and Economics of Disasters

Jose-Miguel is an international expert in theeconomics and political economy of disasters,who has participated in high-powered projectswith international organisations, especially theWorld Bank. He is currently writing a book,commissioned by Routledge, in the area ofdisaster economics. Its provisional titled isDisasters, Networks and Development. He workson development economics with a focus onmacroeconomic theory and policy in three main areas of concern. Firstly, naturally/socially-induced disasters via empirical, analytical and policy-orientated approaches. His mainconclusion is that as a rule "disasters are aproblem OF development, but not a problemFOR development". Secondly, he has done workon structural change, especially comparing the"Washington Consensus Model" with the "AsianModel". And thirdly, he has also worked on theanalysis of infrastructures, proposing a novel two-gap model to assess the impact of infrastructuralcapital on growth. He has also proposed anoptimally consistent method, via linearprogramming, to calculate a benchmark for thecapital stock, which is both accurate andsignificantly cost-saving in finance and time,especially when data is scarce. It has now beenapplied in many countries, especially China.

Nizar Allouch Microeconomic Theory

Nizar's research interests are mainly inMicroeconomic Theory, Public Economics andGame Theory. In addition to his work on No-Arbitrage conditions in assets markets, he iscurrently elaborating some work on Tiebouteconomies with overlapping clubs/jurisdictionsand multiple memberships. His work onTiebout/Clubs economies will have some gametheoretic and pricing applications to generalnetworks.

Richard Baillie Time series analysis, Econometrics andInternational Finance

Richard is the A J Pasant Professor ofEconomics and Finance at the Michigan StateUniversity, USA, as well as working part-time atQueen Mary. He works in the area of dynamiceconometric methods, international finance,asset pricing and time series analysis. His currentmain research interests are the theory of longmemory processes, modelling volatility, generalissues in prediction, international finance parityconditions, modelling risk premium, and theeffects of central bank intervention. He haspublished over seventy articles in the mainprofessional journals and is a Fellow of theJournal of Econometrics and an elected fellow ofthe American Statistical Association. Accordingto Repec, he is in the top 3 per cent of alleconomists for citations and has an "h" statistic of 19. He is co-editor of the Journal of EmpiricalFinance and also serves as associate editor of anumber of other journals and is visiting Scholar at the Federal Reserve Bank of Atlanta.


Francis Breedon Foreign exchange and bond markets particularlyin the area of market microstructure.

Francis’s main research interests are in foreignexchange and bond markets particularly in thearea of market microstructure.

He has direct experience of financial marketsthrough his time at the Bank of England, and hisconsulting roles for a number of Banks, HedgeFunds, Government Departments and CentralBanks. Currently, he is undertaking a project oncurrency allocation for the Norwegian PetroleumFund. He has also worked at the London andChicago Business Schools.

Andrea Carriero Applied Macroeconomics and Forecasting

Andrea's research interests are appliedmacroeconometrics and forecasting. He isworking on the econometric analysis of presentvalue models, with applications on theExpectation Theory of the Term Structure ofInterest Rates, the Uncovered Interest RateParity, and the New Keynesian Phillips Curve. He is also working on the construction andevaluation of alternative composite coincidentand leading indexes for the Euro Area and theUK.

Francesca Cornaglia Applied Microeconomics

Francesca's main interests are in labour andhealth 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 mentalwellbeing of individuals living in communities thathave been subjected to crime, but who have notthemselves been victims of criminal actions.She's also working on a lifecycle model ofsmoking behaviour.

Giulio Fella Macroeconomics and Theoretical LabourEconomics

Giulio Fella works in macroeconomics and theoretical labour economics. He hasinvestigated the effects of dismissal regulationson unemployment, welfare and firms' investmentin workers' training. He has worked on optimalinsurance contracts in models of searchunemployment. His current projects concern theeffectiveness of alternative policies in shapingincentives 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-frequencyfinancial data. In particular, he has been workingon a nonparametric framework for the analysis of volatility and jump spillovers as well as foridentifying mispricings in the financial markets.Marcelo's second line of research aims to assessperformance and risk-taking behaviour in thehedge fund industry.

Ana Galvao Applied Macroeconomics and Forecasting

Ana's research interests are macroeconometricsand forecasting. She has worked on applicationsof non-linear time series models tomacroeconomic and financial time series, and onextensions of models with mixed datafrequencies for forecasting macroeconomicvariables. She is currently working on the impactof data revisions in forecasting macroeconomicaggregates.

Ron Giles Empirical Finance

Ron Giles' research interests are in applicationsof inefficient financial markets, financialforecasting of weather markets andmeasurement error in econometric modellingwith reference to specification andmisspecification error. His recent work is onTrading the weather: noise trader forecasting;dual listed companies with reference to ShellRoyal Dutch; ranking of soccer clubs as apredictor of results; and modelling targets offinancial ratios.

Liudas Giraitis Time-Series Econometrics

Liudas has completed extensive research on long memory and integrated I(d) models. He isinterested in ARCH models, their properties andestimation methods. Liudas has most recentlybeen working on testing and estimation ofintegrated time series models in econometricsand development of comprehensive asymptotic

theory for quadratic forms of dependentvariables. He has published numerous articles inthe leading statistical and econometric journals.

Emmanuel Guerre Econometric Theory

Emmanuel's research interests concernnonparametric identification and inference forauctions, optimal nonparametric testing andinference for recurrent/unit root processes. Hismain contribution in auction modelling consistsin a nonparametric rate optimal estimationmethod that circumvents the numericaldifficulties induced by the Nash equilibrium. Hiswork in nonparametric testing deals with adaptiverate optimal tests that also have a simple limitdistribution. This testing approach can beapplied in various contexts and is easy toimplement.

Randi Hjalmarsson Economics of Crime

Randi’s research focuses on empirical questionsrelated to the economics of crime. In particular,she has studied the effect of incarceration oneducation and subsequent criminal activity; oneof these papers focuses on identifying peereffects in the criminal justice system. Otherresearch questions are policy driven, such aswhether the death penalty has a deterrent effectand whether gun shows in the US increasesuicide and homicide rates in the geographicareas surrounding the shows. Her currentresearch focuses on racial and gender biases injury decisions and on the role of the family andneighborhood in determining criminal behavior.


Staff (cont)


factors from large datasets using state spacemodels. In the area of macroeconomics he hasinvestigated the persistence properties of anumber of macroeconomics series and usedstate space and nonlinear models to forecastGDP for Europe and the US.

Marika Karanassou Macroeconomics and Empirical Finance

Marika's main interest is macroeconomicmodelling. The analysis of dynamic macro-labour models with spillover effects, theevaluation of the inflation-unemploymenttradeoff, and the identification of the factorswhich jointly drive these central macro variablesare the focal points of her research. Thetheoretical and empirical models of her workdraw a new line of research and her resultschallenge the macroeconomic consensus on twomajor fronts: (i) the interplay of dynamics andgrowth in labour market models questions theprevailing wisdom of the natural rate ofunemployment, and (ii) the existence of adownward-sloping Phillips curve points againstthe classical dichotomy doctrine.

Winfried Koeniger Macroeconomics

Winfried considers macroeconomic issues with aparticular focus on consumption and labourmarkets. He has analysed the effects of labourmarket institutions on economic performanceemphasising interactions between the structureof labour markets, financial markets and productmarkets. Moreover, he researches quantitativemodels with heterogeneous agents tounderstand consumption and saving patterns.

Alfonsina Iona Capital Structure, Corporate Investment,Corporate Governance and Financing constraints.

Alfonsina’s research in finance is carried outboth at the theoretical and empirical level. Inparticular, she studies and develops models ofinvestment where the effects of capital marketimperfections contribute to shape the firm’sinvestment; where corporate investment isaffected by the public investment and wherecapital market imperfections effects may berelaxed by some macroeconomic variables. Inthis research area she also analyses howcorporate governance characteristics affect thefirm financing policies and how these affect thefirm value.

Alfonsina’s research in economics is focused on the main determinants of the adoption ofinnovations by firms and the impact ofinnovations on firm performance.

George Kapetanios Econometrics and Macroeconomics

George works in the area of econometrics andmacroeconomics. In the area of econometrics heis interested in (i) the analysis of nonlineareconometric models, (ii) nonlinear unit roottests, (iii) factor models for large datasets (iv)model selection (v) tests of rank (vi) tests ofnonlinearity and (vii) econometric forecasting.He has developed unit root tests that arepowerful against nonlinear stationary processesfor a variety of nonlinear alternative hypotheses.He has developed new tests for nonlinearity withvery favourable size and power properties. Hehas proposed a new methodology for estimating

Staff (cont)

Stepana Lazarova Time-Series Econometrics

Stepana works in the area of Time SeriesEconometrics. In particular she focuses on timeseries with long memory. She investigates linearmodels with breaks in parameters and examinesthe validity of bootstrap methods for models withstrongly dependent processes.

Leone Leonida Corporate Finance and Growth

Leone's research interests are mainly in growthand corporate finance. He is studying the effectson growth processes and convergence patternsof structural change (ie industrialisation) bymeans of semi-parametric stochastic kernels and ACF estimation. He also studies the effectson firm value and investment of corporategovernance mechanisms, exchange ratefluctuations and spill over effects from publiccapital.

Yioryos Makedonis Mathematical Economics, Macroeconomics, and Environmental Economics

Yioryos's main areas of research areMathematical Economics, Macroeconomics, and Environmental Economics.

Rachel Male Applied Macroeconomics and DevelopmentEconomics

Rachel's interests are applied macroeconomics,development economics and appliedeconometrics. She is currently working on theempirical analysis of a DSGE model with stickyprices and a vertical input-output structure, to

model output persistence (in response to amonetary policy shock) of economies at differentlevels of development. She is also working on theeconometric analysis of developing countrybusiness cycles; including turning point analysisof business cycle duration and timing, andstatistical analysis of persistence, volatility,correlations with output, cross-country quantitycorrelations and real exchange rate correlations.

Marco Manacorda Labour Economics

Marco Manacorda is a labour economist with aparticular interest in developing countries. Hisresearch is empirical in nature and focuses onhow incentives are shaped by Public Policies,with the ultimate aim of uncovering the micro-determinants of individual behavior. He haswritten on topics such as Wage Institutions,Schooling, Child Labour, Migration, FamilyFormation, Social Protection, Political Economy,Unemployment, Wage Inequality and Early ChildDevelopment, in both Developed and Developingcountries. Marco Manacorda is also a ResearchAssociate at the Centre for EconomicPerformance (CEP) at the London School ofEconomics, a CEPR Research Affiliate in thePublic Policy and Labour EconomicsProgrammes, and a Research Fellow at IZA(Bonn) and CESIFO (University of Munich).

Xavier Mateos-Planas Xavier’s primary research interest is inquantitative macroeconomics – the combinationof theory and data for measurement and policyanalysis. His agenda reaches across variousthemes, including the determination of fiscalpolicies, financial frictions and consumer credit

14 Queen Mary, University of London

regulation, unemployment and inequality,technology and development, and fertility andeconomic growth.

His recent work on political economy introducesdynamic voting and a rich demographic structurein quantitative macroeconomic models, anecessary step for the positive analysis of fiscalpolicies when there is population change. Thispermits the quantitative study of policy decisionsin situations where the diverse political interestsof different age groups interact. This model hasbeen used to examine changes in US tax policiesand unfunded social security.

Xavier’s recent work has also focused onconsumer credit in order to study personalbankruptcies and the impact of bankingregulation. This research considers contractsthat have the key realistic features of actual creditarrangements for unsecured household credit. Itdevelops models for the determination of creditterms – credit limits and interest rates – incontinuing credit relationships across thedifferent types of households in the economy.This research can and does address policyquestions of current practical significance suchas the effect of tightening the ability of lenders tore-price risk on revolving loans.

Radoslawa Nikolowa Organization Theory, Contract Theory, SecondaryFields: Industrial Organisation, Labour Economics

Radoslawa's research interests are organisationaleconomics and corporate finance. In the area oforganisational economics she has analysed froma theoretical prospective the impact of labourmarket conditions on the internal organisation of

the firm, in terms of organisational structure and reward schemes for the employees. Morerecently she is working in the field of corporatefinance, investigating the questions of creationand financing of spin-offs, and CEO turnover.

Barbara Petrongolo Barbara Petrongolo's main area of interest isapplied labour economics. The focus of some ofher recent contributions is the performance oflabour markets with job search frictions, withapplications to unemployment dynamics, welfarepolicy and interdependencies across local labourmarkets. She is also carrying out research on thecauses and characteristics of gender earningsinequality across countries, with emphasis on therole of employment selection mechanisms andstructural transformation.

Duo Qin Applied Econometrics and History of Econometrics

Duo works in areas of econometrics. Herresearch expertise covers broadly: (a) the historyand the methodology of econometrics; (b)applied macro-econometrics with particularreference to transitional and developingeconomies, e.g. countries of the Asian region, as well as international economic/financialissues. She is also interested in normative issues concerning social, ethnic and culturalproblems associated with economicdevelopment.


Staff (cont)

Anne Spencer Health Economics

Anne's research is focused on the analysis ofpreferences and decision- making, withparticular applications to health and safetyissues. Her research covers utility measurement,decision under uncertainty, intertemporal choice,and draws upon experimental economicstechniques to try to isolate the factors that affectdecision-making. She has published in theJournal of Risk and Uncertainty, as well as morespecialised journals like Health Economics andSocial Science and Medicine. She also mentorshealth economists to use modelling techniques to aid decision-making at the National Institutefor Health and Clinical Excellence (NICE). Inaddition, she is involved in research to applymodelling techniques to improve the design of clinical trials and to develop guidelines forresearchers on the use of modelling techniquesto inform cost effective studies. Anne is alsosenior health economics advisor for thePragmatic Clinical Trials Unit (PCTU) which can be found on the web atwww.ihse.qmul.ac.uk/chspctu/ .

Christopher Tyson Microeconomic Theory

Christopher's primary research interests are inindividual decision making; specifically, in theareas of revealed preference analysis, boundedrationality, utility theory, and intertemporalchoice. His other interests include game theory,bargaining, choice under uncertainty, andevolutionary models.

Roberto Veneziani Microeconomic Theory and Political Economy

Roberto's research interests include topics ofdynamic models of cyclical growth, egalitarianprinciples, and distribution of resources betweengenerations, sustainable development, andnormative principles in economics. He hasfocused mainly on dynamic recursiveoptimisation models with heterogeneous agents.He is also interested in the history of economicthought and in political economy from amathematical perspective.

Leon Vinokur Environmental Economics

Leon’s research is on EU environmental policywith an emphasis on the UK. His thesis involveda cost-benefit analysis of the environmentalpolicy in the EU with a focus on decision-makingunder uncertainty. Leone also assessed theeconometrics of the disposition effect in thecarbon market using intra-daily data. He has also analysed the theoretical impact of the Kyotomechanisms on the production incentives in themarket – specifically the uncertainty of the policy,after the expiry of the Kyoto protocol and how thisaffects the current emissions rate of theproducers.

16 Queen Mary, University of London

Guglielmo Volpe Economic Education and Growth Theory

Guglielmo's research interests lie in the areas ofeconomic growth and economic education. Hehas investigated the role of imperfect capitalmarkets in human capital accumulation andeconomic growth. Presently he is investigatingthe effects of alternative environmental policieson economic growth. In the area of economiceducation Guglielmo has a particular interest instudent centred approaches to learning (such asPBL), the internationalisation of the curriculumand link between institutional sense of belongingand academic performance.

Nicolaas Vriend Microeconomic and Game Theory, EconomicDynamics

Nick's fields of interest are microeconomictheory, game theory, industrial organisation,evolutionary economics, and complex adaptivesystems. His research focuses on the theory ofmarkets and economic behaviour, and he isparticularly interested in the dynamics ofinteractive processes involving bounded rational,learning agents. In relation to this, in his work hefollows theoretical as well as experimental andcomputational tracks. He has investigated themeaning of the concept of rationality ineconomics, and analysed the link between, onthe one hand, ideas of economies as complexadaptive systems (e.g. in recent Agent-basedComputational Economics work), and on theother hand, much earlier views on self-organisation in economics as advanced by AdamSmith or Hayek. He has worked on models ofprice dispersion and consumer loyalty and of the

phenomenon of information-contagion, and hehas investigated the relevance and implicationsof a range of learning theories both in theory andin experimental setups (including variousoligopolistic markets, a location game, andultimatum 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 aparticular focus on adaptive learning anddecision making in uncertain environments, aswell as bargaining theory, auctions and contracts.


Sample publications

Allouch N. and M. Florenzano M. (2004):“Edgeworth and Walrasian equilibrium of anarbitrage-free exchange economy”, EconomicTheory.

Allouch N. (2002): “An equilibrium existenceresult with short selling”, Journal of MathematicalEconomics.

Artis, M., A. B. Galvão and M. Marcellino (2007):“The transmission mechanism in a changingworld”, Journal of Applied Econometrics.

Berlinski S., S. Galiani and M. Manacorda (2008):“Giving Children a Better Start: PreschoolAttendance and School-Age Profiles”, Journal ofPublic 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 CournotMarkets”, Economic Journal.

Carriero A. (2008): “A simple test of the NewKeynesian Phillips Curve”, Economics Letters.

Carriero A., Favero C. and Kaminska, I (2006):“Financial factors, macroeconomic informationand the Expectations Theory of the term structureof interest rates”, Journal of Econometrics.

Clements, M. and A. B. Galvão (2008):“Macroeconomic Forecasting with MixedFrequency Data: Forecasting US output growth”,Journal of Business and Economic Statistics.

Amaro de Matos, Joao, and Fernandes M.,(2007): Testing the Markov property with highfrequency data, Journal of Econometrics.

Fernandes M. and Rocha, Marco Aurelio dosSantos, (2007): Are price limits on futuresmarkets that cool? Evidence from the BrazilianMercantile and Futures Exchange, Journal ofFinancial Econometrics

Fernandes M. and J. Grammig (2006): “A Familyof Autoregressive Conditional Duration Models”,Journal of Econometrics.

Fernandes M. (2006): “Financial crashes asendogenous jumps: Estimation, testing andforecasting, Journal of Economic Dynamics and Control

Fernandes M. and J. Grammig (2005):“Nonparametric Specification Tests forConditional Duration Models”, Journal ofEconometrics.

Guerre E. and A. Guay and S. Lazarova (2009):Adaptive rate-optimal detection of smallautocorrelation coefficients, 62p Submitted

Guerre E. and A. Guay (2006): “A data-drivennonparametric specification test for dynamicregression models”, Econometric Theory.

Guerre E. and P. Lavergne (2005): “Rate-optimaldata-driven specification testing for regressionmodels”, The Annals of Statistics.

Guerre E. and I. Perrigne and Q. Vuong (2000):Optimal nonparametric estimation of first-priceauctions, Econometrica, 68, 525-574


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

Kapetanios G. (2008): “The asymptoticdistribution of the cointegration rank estimatorunder the Akaike information criterion”,Econometric Theory.

Koeniger W. and J. Prat (2007): “EmploymentProtection, Product Market Regulation and FirmSelection”, Economic Journal.

Manacorda M. (2006): “Child Labor and theLabor Supply of Other Household Members:Evidence from 1920 America”, AmericanEconomic Review.

Pancs R. and N. Vriend (2007): “Schelling'sSpatial Proximity Model of SegregationRevisited”, Journal of Public Economics.

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

Tyson, C. (2008): “Cognitive constraints,contraction consistency, and the satisfyingcriterion”, Journal of Economic Theory.

Tyson, C. (2008): “Management of a capital stockby Strotz's naive planner”, Journal of EconomicDynamics and Control.


Student profiles


Student profile: Laura Evangelidou

MSc Investment and Finance

“I am currently inthe process ofcompleting mydissertation, aswell as searchingfor jobs. Havingsuch a valuableMSc on my CVhas caused greatinterest fromprospectiveemployers.

I feel that an MScin Investment and Finance is a

valuable asset on my CV. Covering a range of modules – from theoretical ones likeBehavioural Finance and Commercial andInvestment Banking – to highly numericalones like Quantitative Techniques andFinancial Derivatives has given me a vitalinsight in to what a career in finance will belike. Also, the fact that a few modules likeBusiness Finance were actually taught bysomeone who currently works in the Industryhas motivated me to excel even further.”

CareersOur careers service is run by a team of dedicatedand professional staff. We offer advice throughdrop-in sessions and in-depth interviews, andrun an extensive programme of seminarscovering topics such as: interview skills; how to deal with psychometric tests; and survivingassessment centres. You will also be able to use our extensive Careers Library.


Graduate profile:Matanat AlievaStudied:MSc in Finance and Economics

Currently:Working for BarclaysBank

Why did you choose Queen Maryfor your postgraduate study:

I chose Queen Mary, because the School of Economics andFinance has a great reputation –it is considered to be one of thebest in the UK. In particular, Iwas impressed by the Schoolbeing ranked 6th in the UK forthe quality of its research.

Also, I studied for my BSc inEconomics at Queen Mary anddecided to continue with theMSc. I had lots of positiveemotions about the School, theteaching quality was very high,and I met lots of nice people.Ultimately my aim was to workin the banking sector, and Isecured a job with Barclaysbefore graduating.

What did you gain from your timeat Queen Mary?

During my time at Queen Mary, Ilearned how to work hard underpressure, how to deal with strictdeadlines, and how to work in agroup. Ultimately I started tothink as a financial economist.

Graduate employment

Former students have carved out successfulcareers in a variety of environments including:financial and academic institutions, the civilservice and industry.

First destinations of our graduates includeemployment and/or research at: the InternationalMonetary Fund (IMF), CFA, NYSE-Euronext,Mazars Pakistan, JS Bank, South Chine Securities(UK) Ltd, ING Wholesale. Other former studentswork in leading European universities and in theCity of London in institutions such as Barclays,HSBC, Ernst&Young.

The chart below shows student destinations, by percentage.

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 wellrepresented, making up almost 50 per cent ofstudents.

The chart below shows students’ country of originby percentage.


Destination Country of Origin

Banking33%

Europe22%

Asia30%

Africa6%

England9%

InvestmentBanking23%

MiddleEast33%

InternationalFinance15%

Others17%

EventManagement 8%

Research 4%

Alternative MSc programmes

The School runs a number of MSc degreeprogrammes. You can indicate a second choiceof programme on your application form. You willbe considered for entry on to your second choiceshould we have reached the maximum numberof students on your first choice of programme.

MSc EconomicsThis is a well-established, intensive programmeproviding rigorous training in modern economictheory and applications.

Ideal for students who aim to train as professionaleconomists in the private sector or government,or follow an academic, or research career. Thisprogramme includes a dissertation component,and is recognised as a Research Training degreeby the ESRC under their “1+3” scheme.

For more information:www.econ.qmul.ac.uk/postgraduate/msc-programme/msc-economics

MSc Banking and FinanceThis MSc in Banking and Finance offersspecialised, practical training in an environmentof academic excellence. Students cover a varietyof perspectives on how financial markets operate,grounded in economic and financial theory andpractice.

This taught MSc programme is ideal for thoseaiming to pursue careers in the City, privatebanking sector, financial institutions, andfinancial regulatory bodies, as well as thosealready working in these fields. Graduates will be well placed to follow careers in investmentmanagement, financial statement, risk andportfolio management.

For more information:www.econ.qmul.ac.uk/postgraduate/msc-programmes/msc-banking-and-finance

MSc Finance and InvestmentThis programme aims to train students andprofessionals in areas of finance which havemajor practical and theoretical interest,especially investment analysis and corporatefinance issues such as optimal capital structureand mergers and acquisitions, banking,derivatives and finance microstructure.

This programme offers professional postgraduatetraining, preparing students to follow careers infinance, banks or elsewhere in the private sector.A number of optional modules are also on offer.These are taught by City practitioners whoprovide insiders’ views on issues of interest to the financial community.

For more information: www.econ.qmul.ac.uk/postgraduate/msc-programmes/msc-investment-and-finance


Accommodation and application procedure

AccommodationQueen Mary students are well placed when itcomes to finding suitable accommodation. TheMile End campus incorporates a Student Villagewith more than 2,000 rooms, many of themensuite. Queen Mary students also have accessto places in the fully catered Intercollegiate Hallsin central London, which are owned by theUniversity of London.

Additionally, there is a range of private sectorhousing in the east London area surrounding the campus. If you prefer to live in privateaccommodation, the College can help you find a suitable place, by providing you with guidancenotes and up-to-date listings of availableproperties. Once you have firmly accepted youroffer to study at Queen Mary, full details of how toapply for College housing will be sent to you bythe Admissions Office.

Some residences are reserved solely forpostgraduates, while others may be shared withfinal year undergraduate students; all residencesare for both male and female students. Single sexaccommodation is available in the standard styleof housing, subject to availability.

For all enquiries about accommodation can be found on the following website:www.residences.qmul.ac.uk

Entry requirementsYou should have at least an upper-second classhonours degree, or equivalent, normally, but not strictly, in Economics. Some background

in quantitative subjects is advisable. Students are expected to sit pre-sessional statistics andmathematics examinations following intensivepre-sessional modules in September.

ApplicationAll candidates should include a full academictranscript (a record of courses taken and gradesachieved) and two academic references withtheir applications. The deadline for applicationsis mid-July, but courses generally start to fill up by the middle of March each year. The Schoolreserves the right not to process applicationswhich arrive later than July.

Further Information The School welcomes informal enquiries about any aspect of its graduate programmes.For further information please contact thePostgraduate Programme Manager:Sandra Adams School of Economics and FinanceQueen Mary, University of LondonMile End RoadLondon E1 4NS email: [email protected]: +44 (0)20 7882 7356Fax: +44 (0)20 8983 3580

For more information and application pack, visit:MSc Finance and Economicswww.econ.qmul.ac.uk/postgraduate/msc¬programmes/msc-finance-and-economics

MSc Finance and Econometricswww.econ.qmul.ac.uk/postgraduate/msc¬programmes/msc-finance -and-econometrics


This publication has been produced by Creative Services for the School of Economics and Finance – Pub7468

For further information contact:School of Economics and Finance Queen Mary, University of LondonMile End RoadLondon E1 4NSTel: +44 (0)20 7882 7356Fax: +44 (0)20 8983 3580email: [email protected]

Documents

Msc Finance and Economics Eco No Metrics 2010 11 (2)