Caporin, Massimiliano; Pres, Juliusz - Dipartimento di Scienze Economiche "Marco Fanno", … - 2010
not a concern, given that the recent turbines can rotate to follow wind direction): the Auto Regressive Gamma process, the … Gamma Auto Regressive process, and the ARFIMA-FIGARCH model. We provide both in-sample and out-of-sample comparisons of the …