|
|
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., 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.
3. 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).
4. 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.
5. 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.
6. 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.
7. 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.
8. 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.
9. 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
10. 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)
11. 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)
12. 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)
13. 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"))
14. 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)
15. 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)
16. 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)
17. 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")
18. 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)
19. 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)
20. 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)
21. 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.
22. 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)
23. 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.
24. 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.
25. 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.
26. 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)
27. 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.
28. 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)
29. 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)
30. 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.