Didit Budi Nugroho

Empirical performance of GARCH, GARCH-M, GJR-GARCH and log-GARCH models for returns volatility

Didit Budi Nugroho, Dini Kurniawati, Lam Peter Panjaitan et al. · Journal of Physics Conference Series · 2019 · 27 citations · Full text

Volatility Modeling, Engineering, Empirical Performance +21

Box–Cox realized asymmetric stochastic volatility models with generalized Student's<i>t</i>-error distributions

Didit Budi Nugroho, Takayuki Morimoto · Journal of Applied Statistics · 2015 · 22 citations

Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-Based methods

Didit Budi Nugroho, Takayuki Morimoto · Computational Statistics · 2014 · 17 citations

Volatility Modeling, Multivariate Stochastic Volatility, Engineering +9

Realized Non-linear Stochastic Volatility Models with Asymmetric Effects and Generalized Student&amp;apos;s &lt;i&gt;t&lt;/i&gt;-Distributions

Didit Budi Nugroho, Takayuki Morimoto · JOURNAL OF THE JAPAN STATISTICAL SOCIETY · 2014 · 16 citations · Full text

Volatility Modeling, Engineering, Volatility Estimators +17

Comparative analysis of three MCMC methods for estimating GARCH models

Didit Budi Nugroho · IOP Conference Series Materials Science and Engineering · 2018 · 14 citations · Full text

Volatility Modeling, Engineering, Bayesian Econometrics +21