In this paper we suggest using a modified version of the time reversibility (TR) test of Chen, Chou and Kuan (2000) as a complementary diagnostic test for time series models. The modified CCK test is easy to compute and requires weaker moment conditions than existing tests. Our simulations...

In this paper we investigate the out-of-sample forecasting ability of feedforward and recurrent neural networks based on empirical foreign exchange rate data. A two-step procedure is proposed to construct suitable networks, in which networks are selected based on the predictive stochastic...