How to construct validation set for time series for NN?
Im new to the topic too but I think the Idea is to create a Train/Test-Set and then take the TrainSet and Split it again in 2 Sets (mostly called Train and Development Set) for example with a KFold-CV. Train your model on the Train Set and improve it with the Developement Set. Then take the final model and use it on the whole trainingset.

The picture give you a clearer idea I think.