We take a model selection approach to the question of whether a class of adaptive prediction models (artificial neural networks) is useful for predicting future values of nine macroeconomic variables. We use a variety of out-of-sample forecast-based model selection criteria, including forecast...

This paper proposes a hybrid computational intelligent system for the detection of statistical arbitrage opportunities in pairs of assets. The proposed methodology combines nonlinear neural network autoregressive models with GARCH parametrizations of volatility for describing the dynamics of the...