[R] Forecasting prices

randomness m.kofler at aew.eu
Tue Apr 28 17:11:02 CEST 2015

apologies in advance for the generic question but I would highly appreciate
if someone pointed me in the right direction.
My challenge: I need to forecast Prices (Gas & Electricity Spot). Both gas
and electricity Show Autocorrelative and seasonal (hourly, daily, monthly)
behaviour. And there are explaining variables, of which I have forecasts out
of Reuters (temp, production etc). 

I have looked at dynamic linear Regression and neural Networks so far. It
would be great if someone can provide any Input, which model they would
suggest using. I got several conflicting opinions so far, which is of course
suboptimal as I would love to Focus on one subject. Of course if you can
suggest any literature or even have some code I would be very grateful.

Many thanks!


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