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Title: | Empirical analysis of daily cash flow time series and its implications for forecasting |
Author: | Salas Molina, Francisco Rodríguez-Aguilar, Juan A. (Juan Antonio) Serrà, Joan Guillén, Montserrat Martin, Francisco J. |
Keywords: | Flux de caixa Empirisme Anàlisi de sèries temporals Estadística Cash-flow Empiricism Time-series analysis Statistics |
Issue Date: | 2018 |
Publisher: | Institut d'Estadística de Catalunya |
Abstract: | Usual assumptions on the statistical properties of daily net cash flows include normality,absence of correlation and stationarity. We provide a comprehensive study based on a real-world cash flow data set showing that: (i) the usual assumption of normality, absence of correlation and stationarity hardly appear; (ii) non-linearity is often relevant for forecasting; and (iii) typical data transformations have little impact on linearity and normality. This evidence may lead to consider a more data-driven approach such as time-series forecasting in an attempt to provide cash managers with expert systems in cash management. |
Note: | Reproducció del document publicat a: https://doi.org/10.2436/20.8080.02.701 |
It is part of: | Sort (Statistics and Operations Research Transactions), 2018, vol. 42, num. 1, p. 73-98 |
URI: | http://hdl.handle.net/2445/128355 |
Related resource: | https://doi.org/10.2436/20.8080.02.701 |
ISSN: | 1696-2281 |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
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