6533b81ffe1ef96bd1278cf5

RESEARCH PRODUCT

Empirical analysis of daily cash flow time-series and its implications for forecasting

Francisco Salas-molinaJuan A. Rodríguez-aguilarJoan SerràMontserrat GuillénFrancisco J. Martin

subject

cash flowtime-serieseducationStatisticsforecasting:62 Statistics::62P Applications [Classificació AMS]62J02 62J05 62P20EconomiaNon-linearitynon-linearityCash flow:Matemàtiques i estadística::Estadística matemàtica [Àrees temàtiques de la UPC]:62 Statistics::62J Linear inference regression [Classificació AMS]Time-seriesStatistics forecasting cash flow non-linearity time-seriesForecasting

description

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.

yearjournalcountryeditionlanguage
2019-01-01
https://hdl.handle.net/2117/178504