This report represents the documentation of the project entitled "Wind Power Forecasting by Nonparametric and Parametric Time Series Models". The project was prepared between March 2012 and the 10th of October 2012, at Universitat Politècnica de Catalunya. The main focus of the project was to study methods for forecasting wind speed and wind power for a short term horizon. In order to find the estimates, parametric and nonparametric models were used. The accuracy of the predictions was tested by using the RMSE indicator. Results show that nonlinear models are a better fit for the wind data