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Robust Estimation of Heckman Model Read chapter Read first chapter

2017 | OriginalPaper | Chapter

Forecasting Cash Holding with Cash Deposit Using Time Series Approaches

Authors : Kobpongkit Navapan, Jianxu Liu, Songsak Sriboonchitta

Published in: Robustness in Econometrics

Publisher: Springer International Publishing

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Abstract

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.

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Metadata
Title
Forecasting Cash Holding with Cash Deposit Using Time Series Approaches
Authors
Kobpongkit Navapan
Jianxu Liu
Songsak Sriboonchitta
Copyright Year
2017
Book
Robustness in Econometrics

Print ISBN: 978-3-319-50741-5

Electronic ISBN: 978-3-319-50742-2

Copyright Year: 2017

DOI
https://doi.org/10.1007/978-3-319-50742-2_30

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