Exploratory factor analysis (EFA) is an important tool in data analyses, particularly in social science. Usually four steps are carried out which contain an large number of options. One important option is the number of factors and the association of variables with a factor. Our tools aim to...

Exploratory factor analysis (EFA) is an important tool in data analyses, particularly in social science. Usually four steps are carried out which contain an large number of options. One important option is the number of factors and the association of variables with a factor. Our tools aim to...

Generative KI sorgte in jüngster Vergangenheit für großes Aufsehen. Grund ist, dass generative KI-Anwendungen selbstständig Inhalte wie Texte, Bilder, Programmiercodes oder Videos generieren können, die oft nur schwer von menschlich erstellten Inhalten zu unterscheiden sind. Sinnbildlich...

Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...

We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity...

Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...

Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...

The market model of interest rates specifies simple forward or Libor rates as lognormally distributed, their stochastic dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the product of a quadratic polynomial and a...