Orlovits Zsanett
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– Angol változat
Számítástechnikai és Automatizálási
Kutatóintézet
1111 Budapest
Kende u. 13-17
Tel.: +36-1-279 6219
E-mail: orlovits@sztaki.hu
·
Sztochasztikus
volatilitás elemzés
·
GARCH
modellek
·
Pénzügyi
matematika
Curriculum Vitae (English)
Folyóiratcikkek:
[1] GERENCSÉR, L., MICHALETZKY, GY., ORLOVITS, ZS.: On the top
Lyapunov exponent of block-triangular stationary random matrices. Systems & Control Letters, 2006,
under review.
[2] GERENCSÉR, L., ORLOVITS, ZS.:
Recursive estimation of GARCH processes. Working paper, 2006.
Konferencia kiadványok:
[1] GERENCSÉR, L., MOLNÁR-SÁSKA, G., ORLOVITS, ZS.: Recursive
estimation of Hidden Markov Models. In Proceedings of the 44th IEEE Conference on Decision and Control
and European Control Conference ECC 2005, Seville, Spain, December 12-15,
2005.
[2] GERENCSÉR, L., MOLNÁR-SÁSKA, G., ORLOVITS, ZS.: Change Detection
of Hidden Markov Models and GARCH processes. In: Proceedings of the International Conference on Stochastic Finance 2004.
September 26-30, 2004, Lisbon (electronic)
[3] GERENCSÉR, L., MICHALETZKY, GY., ORLOVITS, ZS.: On the
Top-Lyapunov Exponent of Block-triangular Stationary Random Matrices. European
Control Conference ECC 2007, Kos, Greece, July 2-5, 2007, submitted for
publication.
Konferencia előadások:
[1*] GERENCSÉR,
L., ORLOVITS, ZS.: Recursive estimation of GARCH processes.9th
International Vilnius Conference on Probability Theory and Mathematical
Statistics, Vilnius, Lithuania, June 25-30, 2006.
[2*] GERENCSÉR,
L. - MOLNÁR-SÁSKA, G. - ORLOVITS, ZS.: Recursive estimation of Hidden
Markov Models. 44th IEEE Conference on Decision and Control
and European Control Conference ECC 2005,
[3*] GERENCSÉR,
L., ORLOVITS, ZS.: Modelling Stochastic Volatility. ERNSI (European Research Network on System Identification) Workshop
on System Identification 2004, Dobogókő, October 4-6, 2004. (pdf)
[4*] GERENCSÉR, L., MOLNÁR-SÁSKA, G., ORLOVITS, ZS.: Change
Detection of Hidden Markov Models and GARCH processes. International Conference on Stochastic Finance 2004, Lisbon,
Portugal, September 26 – 30, 2004.
Egyetemi jegyzetek:
GERENCSÉR, L. – MÁTYÁS, Z. –
MOLNÁR-SÁSKA, G. – ORLOVITS, ZS.: Statistical theory of
non-linear stochastic systems. I.
GERENCSÉR, L. – ORLOVITS,
ZS.: System theory IV. Part I.
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