Forecasting cash holding with cash deposit using time series approaches
© Springer International Publishing AG 2017. The levels of cash holding and cash deposit for Thai banks have significantly increased over the past 10 years. This paper aims to forecast cash holding by using cash deposit. For banks, cash holding partially is from the cash deposited. In addition, accu...
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th-cmuir.6653943832-407562017-09-28T04:11:14Z Forecasting cash holding with cash deposit using time series approaches Navapan K. Liu J. Sriboonchitta S. © Springer International Publishing AG 2017. The levels of cash holding and cash deposit for Thai banks have significantly increased over the past 10 years. This paper aims to forecast cash holding by using cash deposit. For banks, cash holding partially is from the cash deposited. In addition, accurate prediction on the cash holding would provide valuable information and indicators supervising bankers to control the levels of both cash holding and cash deposit effectively. In addition, the empirical relevance of cash holding and cash deposit is examined with three different models; linear model, ARIMA model and state space model. Experimental results with real data sets illustrate that state space model tends be the most accurate model compared to the other two models for prediction. 2017-09-28T04:11:14Z 2017-09-28T04:11:14Z Book Series 1860949X 2-s2.0-85012895340 10.1007/978-3-319-50742-2_30 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012895340&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/40756 |
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© Springer International Publishing AG 2017. The levels of cash holding and cash deposit for Thai banks have significantly increased over the past 10 years. This paper aims to forecast cash holding by using cash deposit. For banks, cash holding partially is from the cash deposited. In addition, accurate prediction on the cash holding would provide valuable information and indicators supervising bankers to control the levels of both cash holding and cash deposit effectively. In addition, the empirical relevance of cash holding and cash deposit is examined with three different models; linear model, ARIMA model and state space model. Experimental results with real data sets illustrate that state space model tends be the most accurate model compared to the other two models for prediction. |
| format |
Book Series |
| author |
Navapan K. Liu J. Sriboonchitta S. |
| spellingShingle |
Navapan K. Liu J. Sriboonchitta S. Forecasting cash holding with cash deposit using time series approaches |
| author_facet |
Navapan K. Liu J. Sriboonchitta S. |
| author_sort |
Navapan K. |
| title |
Forecasting cash holding with cash deposit using time series approaches |
| title_short |
Forecasting cash holding with cash deposit using time series approaches |
| title_full |
Forecasting cash holding with cash deposit using time series approaches |
| title_fullStr |
Forecasting cash holding with cash deposit using time series approaches |
| title_full_unstemmed |
Forecasting cash holding with cash deposit using time series approaches |
| title_sort |
forecasting cash holding with cash deposit using time series approaches |
| publishDate |
2017 |
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https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012895340&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/40756 |
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