This paper is a literature review of the current literature on currency “de-pegging”. The paper covers up-to-date literature on forces that drive countries to remove pegs. This paper covers mostly macroeconomic fundamentals of historic pegged currencies, and presents the most prominent...

Modelling and forecasting of asset volatility and covariance is of prime importance in the construction of portfolios. In this paper, we present a generalised multi-factor model that incorporates heteroskedasticity and dependence in the idiosyncratic error terms. We apply this model to...