Forthcoming:

1. Nugroho, D. B., Wibowo, H., & Saragih, A.
(forthcoming). Modeling Daily Return Volatility Through GJR(1,1) model and
Realized Volatility Measure. Thailand Statistician, Vol. …, No. …, pp. …, e-ISSN: 2351-0676, DOI:
…. Scopus Q3 SJR 0.24
(2021).

2. Nugroho, D. B., Dimitrio, O. C., & Tita, F. (forthcoming).
GARCH-X(1,1) dengan Variabel Eksogen Ditransformasi Pangkat. Jurnal Sains dan Teknologi, Vol. …, No. …, pp. …, e-ISSN: 2548-8570, DOI: …. Terakreditasi
Nasional Peringkat 2.

In the Year 2023:

Nugroho, D. B.,
Wicaksono, B. A. A., & Larwuy, L. (2022). GARCH-X(1,1) Model Allowing A
Non-linear Function of the Variance to Follow An AR(1) Process. Communications for Statistical Applications and Methods, Vol. 30, No. 2, pp. …, e-ISSN: 2383-4757, DOI: …. Indexed: Scopus Q3 SJR 0.27
(2021).

In the Year 2022:

Nugroho, D. B., Panjaitan, L.
P., Kurniawati, D., Kholil, Z., Susanto, B., Sasongko, L. R. (2022). GRG Non-linear and ARWM
Method for Estimating the GARCH-M, GJR, and log-GARCH Models. Jurnal Teori dan Aplikasi
Matematika, Vol. 6, No. 2, pp. 448–460,e-ISSN: 2614-1175, DOI: https://doi.org/10.31764/jtam.v6i2.7694. Terakreditasi Peringkat 2.

In the Year 2021:

1.    Nugroho, D. B., Mahatma, T., & Pratomo, Y. (2021) Applying the
Non-linear Transformation Families to the Lagged-variance of EGARCH and GJR
Models. IAENG International Journal of Applied
Mathematics, Vol. 51, No. 4, p.
12. Publisher: International Association Engineers. eISSN: 1992-9986. Indexed: Scopus Q3 SJR 0.26
(2021).

2.    Nugroho, D. B., Priyono, A., & Susanto, B.
(2021). Skew Normal and
Skew Student-t Distributions on GARCH(1,1) Model. Media Statistika, Vol. 14, No. 1, pp.
21-32. e-ISSN: 2477-0647. DOI: https://doi.org/10.14710/medstat.14.1.21-32.
Terakreditasi Peringkat 2.

3.    Nugroho, D. B., Mahatma, T., & Pratomo, Y.
(2021) GARCH models under power transformed returns: Empirical evidence
from international stock indices. Austrian Journal of Statistics, Vol. 50, No. 4, pp. 1-18.
Publisher: Austrian Statistical Society. DOI: .
ISSN: 1026-597X. Indexed: Scopus Q2 SJR 0.59
(2019), Wos ESCI. IF (via Publish
or Perish): 0.775.

In the Year 2020:

1.   
Nugroho, D. B., Pamungkas, B. A., & Parhusip, H. A. (December
2020). Volatility Fitting
Performance of QGARCH (1,1) model with Student-t, GED,
and SGED Distributions. Comtech: Computer, Mathematics and Engineering Applications, Vol. 11, No. 2, pp. 97–104, e-ISSN:
2476-907X. DOI: https://doi.org/10.21512/comtech.v11i2.6391. Terakreditasi Peringkat 2.

2.    Nugroho, D. B., PAnggraeni, K.,
& Parhusip, H. A. (December 2020).  Model Regresi
untuk Return Aset dengan Volatilitas Mengikuti Model GARCH(1,1) Berdistribusi
Epsilon-Skew Normal dan Student-t. Limits: Journal of Mathematics and Its
Applications, Vol. 17, No. 2, pp. 181–199. E-ISSN: 2579-8936. DOI: http://dx.doi.org/10.12962/limits.v17i2.6730. Terakreditasi Peringkat 2.

3.    Nugroho, D. B., Kusumawati, A.
M., & Sasongko, L. R. (August 2020). Volatilitas Kurs dan Saham
Mengikuti Model EGARCH(1,1) Berdistribusi
Versi Skew Normal dan Student-t. Jurnal Ekonomi Kuantitatif Terapan, Vol. 13,
No. 2, pp. 259–272. E-ISSN: 2303-0186. DOI: https://doi.org/10.24843/JEKT.2020.v13.i02.p04. Terakreditasi Peringkat 2.

4.   
Setiawan, A., Setiaji, F. D., Nugroho, D. B., Riyanto, C. A., & Wibowo, N. A. (April 9, 2020) Subsurface detection of opaque and solid material
defect based on photoacoustic effect. Journal of Instrumentation, Vol. 15, No.4, p P04010. DOI: 10.1088/1748-0221/15/04/p04010. eISSN: 1748-0221. Publisher: IOP
Publishing. Indexed: Scopus Q1 SJR 0.81 (2019), WoS SCIE. IF 2019: 1.454

In the Year 2019:

1.   
Nugroho, D. B. (November 29, 2019). GARCH(1,1) Model with the Yeo–Johnson transformed returns, Journal
of Physics: Conference Series, The 2nd International Seminar on Innovation in Mathematics and
Mathematics Education (ISIMMED 2018), Yogyakarta,
Indonesia, 20–24 November 2018, Vol. 1320, No. 1, p 012013; [DOI: 10.1088/1742-6596/1320/1/012013]; ISBN: 17426588, 17426596; Publisher: IOP
Publishing. (Scopus Q3
SJR 0.22 (2018)) (Certificate)

2.    Nugroho, D. B., & Morimoto, T. (2019). Incorporating Realized Quarticity into a Realized
Stochastic Volatility Model. Asia-Pacific
Financial Markets, Vol.
26, No. 4, pp 495–528. [DOI: 10.1007/s10690-019-09276-2];
pISSN: 1387-2834; eISSN: 1573-6946; Publisher: Springer. (Scopus Q4
2018, SJR: 0.13)

3.    Nugroho, D. B., Kurniawati, D., Panjaitan, L. P., Kholil,
Z., Susanto, B., & Sasongko, L. R. (September 3, 2019). Empirical performance
of GARCH, GARCH-M, GJR-GARCH and log-GARCH models for returns volatility, Journal
of Physics: Conference Series, The 3rd International Conference on Science and Science
Education (IConSSE), Salatiga,
Indonesia, 20th June 2019, Vol. 1307, No. 1, pp 012003; [DOI: 10.1088/1742-6596/1307/1/012003]; ISBN: 17426588, 17426596; Publisher: IOP
Publishing. (Scopus Q3
SJR 0.22 (2018)) (Certificate)

4.    Nugroho, D. B., Susanto, B., Prasetia, K. N. P., &
Rorimpandey, R. (May 2019). Modeling of returns
volatility using GARCH(1,1) model under Tukey transformations, Jurnal Akuntansi dan Keuangan, Vol. 21, No. 1, pp 12–20; [DOI: https://doi.org/10.9744/jak.20.1.12-20]; ISBN: 1411-0288, e-ISSN:2338-8137;
Publisher: The Institute of Research & Community Outreach – Petra Christian
University, Indonesia. (Sinta 2 (Nationally Accredited “B”))

5.    Wibowo,
N. A., Nugroho, D. B.,
& Riyanto, C. A. (March 2019). Performance of Magnetic Switching at the Recording
Temperature in Perpendicularly Magnetized Nanodots. Journal of Magnetics, Vol. 24, No. 1, pp 17–23;  [DOI:
10.4283/JMAG.2019.24.1.017]; Print ISSN: 1226-1750; Online ISSN: 2233-6656;
Publisher: The Korean Magnetics Society. (Scopus Q3, SJR: 0.27)

In the Year 2018:

1.    Nugroho, D. B.,
Susanto, B., & Rosely, M. M. M. (October 2018). Penggunaan MS Excel
untuk Estimasi Model GARCH(1,1), Jurnal Matematika Integratif, Vol.
14, No. 2, pp 71–81; [DOI: 10.24198/jmi.v14.n2.17680.%p];
ISBN: p-ISSN:1412-6184 | e-ISSN:2549-9033; Publisher: Department
of Matematics, FMIPA, Universitas Padjadjaran, Indonesia. (Sinta 4)

2.    Nugroho, D. B. (September
2018). Comparative analysis
of three MCMC methods for estimating GARCH models, IOP Conf. Ser.: Mater.
Sci. Eng., The 1th International Conference on Engineering and Applied
Technology (ICEAT), Mataram,
Indonesia, 29th–30th November 2017, Vol. 403, No. 1, p 012061; [DOI:
10.1088/1757-899X/403/1/012061]; ISBN: -; Publisher: IOP Publishing. (Certificate)

3.    Nugroho, D. B.,
Mahatma, T., & Pratomo, Y. (May-August 2018). Modeling of
stochastic volatility to validate IDR anchor currency, Gadjah Mada International Journal of Business, Vol.
20, No. 2, pp 165–185; [DOI: 10.22146/gamaijb.26006]; Print ISSN:
1411-1128; Online ISSN: 2338-7238; Publisher: Master in Management Program,
Faculty of Economics and Business, Universitas Gadjah Mada. (Scopus Q3 SJR
0.22 (2018); Sinta 1 (Nationally Accredited “A”)

In the Year 2017:

1.    Nugroho, D. B.,
& Susanto, B. (August 2017). Volatility modeling
for IDR exchange rate through APARCH model with Student-t distribution, AIP Conf. Proc., The 4th
International Conference on Research, Implementation and Education of
Mathematics and Science (ICRIEMS), Yogyakarta,
Indonesia, 2017, Vol. 1868, No. 1, pp 040005-1–8; [DOI: 10.1063/1.4995120]; ISBN:
978-0-7354-1548-5; Publisher: AIP Publishing. (Certificate)

2.    Nugroho, D. B.,
Mahatma, T., & Pratomo, Y. (March 2017). Volatility modelling
using Box–Cox stochastic volatility model: Evidence from Bank Indonesia
(2010–2015), Proceedings 2nd ISI
Regional Statistics Conference (Session IPS21). (Certificate)

3.    Nugroho, D. B.,
Susanto, B., & Pratama, S. R. (March 2017). Estimation of
exchange rate volatility using APARCH-type models: A case study of Indonesia
(2010–2015), Journal
of Economics and Development Studies, Vol. 9, No. 1, pp 65–75;
Print ISSN: 2086-1575; Online ISSN: 2505-7115; Publisher: Jurusan Ekonomi
Pembangunan, FE UNM. (Sinta 3)

4.    Dwijayanti,
R., Setiawan, A., & Nugroho,
D. B. (February 2017). Peramalan dengan
model VARI pada data IHK kelompok padi-padian dan bumbu-bumbuan (Studi Kasus
Kota Salatiga, Bulan Januari 2014–Juli 2016), Prosiding Seminar
Nasional Matematika dan Pendidikan Matematika, pp
924–939; ISBN: 978-602-61222-0-9; Publisher: Prodi Magister Pendidikan
Matematika, Universitas Sebelas Maret.

In the Year 2016:

1.    Nugroho D. B., &
Morimoto, T. (August 2016). Box–Cox realized
asymmetric stochastic volatility models with generalized Student’s t-error
distributions, Journal
of Applied Statistics, Vol. 43, No. 10, pp 1906–1927; [DOI: 10.1080/02664763.2015.1125862]; Print
ISSN: 0266-4763; Online ISSN: 360-0532; Publisher: Taylor &
Francis. (IF: 0.664 (2016); Scopus Q3)

2.    Salim, F.
C., Nugroho, D. B.,
& Susanto, B. (April 2016). Model volatilitas
GARCH(1,1) dengan error Student-t untuk kurs beli EUR dan JPY
terhadap IDR, Jurnal
MIPA, Vol. 39, No. 1, pp 78–84; Print ISSN: 0215-9945; Publisher:
FMIPA Unnes.

3.    Saputri,
E. D., Nugroho, D. B.,
& Setiawan, A. (April 2016). Model volatilitas
ARCH(1) dengan return
error berdistribusi skewed Student-t, Jurnal MIPA, Vol. 39, No. 1, pp
78–84; Print ISSN: 0215-9945; Publisher: FMIPA Unnes.

4.    Wardani,
D. S., Setiawan, A., & Nugroho,
D. B. (March 2016). Peramalan dengan
model SVAR pada data inflasi Indonesia dan nilai tukar rupiah terhadap
dolar Amerika dengan menggunakan metode Bootstrap, Jurnal de Cartesian, Vol. 5, No. 1,
pp 28–34; Print ISSN: 2302-4224; Publisher: FMIPA Universitas Sam
Ratulangi.

In the Year 2015:

1.    Saputri,
E. D., Nugroho, D. B.,
& Setiawan, A. (November 2015). Model Volatilitas
ARCH(1) dengan Returns Error Berdistribusi non-central Student-t, Studi Kasus:
Kurs Beli JPY dan EUR terhadap IDR, Prosiding Seminar
Nasional Matematika dan Pendidikan Matematika UNY 2015, pp
233–240; ISBN: 978-602-73403-0-5. (Certificate)

2.    Salim, F.
C., Nugroho, D. B.,
& Susanto, B. (November 2015). Estimasi MCMC untuk
untuk model GARCH(1,1) (Studi Kasus: Kurs beli JPY dan EUR terhadap IDR), Prosiding Seminar
Nasional Matematika dan Pendidikan Matematika UNY 2015, pp
443–448; ISBN: 978-602-73403-0-5.

3.    Nugroho D. B., & Sroyer,
A. (October 2015). Estimasi Variansi
Return di Pasar Valuta Asing Indonesia Menggunakan Model AR(1)-ARCH(1). Prosiding Seminar Nasional Matematika
dan Sistem Informasi Universitas Cenderawasih 2015, pp
65–69. (Certificate)

4.   
Nugroho D. B., &
Morimoto, T. (June 2015). Estimation of
realized stochastic volatility models using Hamiltonian Monte Carlo-based
methods, Computational
Statistics, Vol. 30 (No. 2), pp 491–516; [DOI: 10.1007/s00180-014-0546-6]; Print
ISSN: 0943-4062; Online ISSN: 1613-9658; Publisher: Springer Berlin Heidelberg.
(IF: 0.828; Scopus Q2) (As one of the
recipient of article incentives in the international journal of 2017 given by
Kemenristekdikti (Ministry of Research, Technology and Higher Education)
Indonesia)

In the Year 2014:

Nugroho
D. B., & Morimoto, T. (2014). Realized
non-linear stochastic volatility models with asymmetric effects and generalized
Student’s t-distributions, Journal of The Japan Statistical Society,
Vol. 44 (No. 1), pp 83–118; [DOI: 10.14490/jjss.44.83];
Print ISSN: 1882-2754; Online ISSN: 1348-6365; Publisher: The Japan Statistical
Society.