Títol | Empirical analysis of daily cash flow time-series and its implications for forecasting |
Publication Type | Journal Article |
Year of Publication | 2018 |
Authors | Salas-Molina F, Rodríguez-Aguilar JA, Serrà J, Guillén M, Martin F |
Journal | SORT-Statistics and Operation Research Transactions |
Volume | 42 |
Edició | 1 |
Paginació | 73-98 |
Date Published | 01/2018 |
Editor | Statistical Institute of Catalonia |
Paraules clau | cash flow, forecasting, non-linearity, statistics, time-series |
Resum | 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. |