Zsanett Orlovits

MTA SZTAKI

Computer and Automation Institute of the Hungarian Academy of Sciences

H-1111 Budapest

Kende u. 13-17,

Hungary

Phone:0036-1-2796158
Fax: 0036-1-466-7503

E-mail: orlovits@sztaki.hu

Member of the Stochastic Systems Research Group.

Research interest:

· Stochastic volatility models

· GARCH models

· Financial mathematics

Curriculum Vitae

PUBLICATIONS

Articles:

[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.

Conference papers:

[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.

Conference talks:

[1*] GERENCSÉR, L., ORLOVITS, ZS.: Recursive estimation of GARCH processes.9^th 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, Seville, Spain, December 12-15, 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.

Lecture Notes:

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.