Details about Juan Carlos Parra-Alvarez
Access statistics for papers by Juan Carlos Parra-Alvarez.
Last updated 2025-01-07. Update your information in the RePEc Author Service.
Short-id: ppa369
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Working Papers
2022
- Estimation of continuous-time linear DSGE models from discrete-time measurements
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University 
See also Journal Article Estimation of continuous-time linear DSGE models from discrete-time measurements, Journal of Econometrics, Elsevier (2024) (2024)
2021
- Peso Problems in the Estimation of the C-CAPM
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
See also Journal Article Peso problems in the estimation of the C‐CAPM, Quantitative Economics, Econometric Society (2022) (2022)
2020
- Estimation of heterogeneous agent models: A likelihood approach
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
Also in Discussion Papers, Deutsche Bundesbank (2020) View citations (4) CESifo Working Paper Series, CESifo (2017) View citations (6)
- Optimal Asset Allocation for Commodity Sovereign Wealth Funds
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
See also Journal Article Optimal asset allocation for commodity sovereign wealth funds, Quantitative Finance, Taylor & Francis Journals (2023) View citations (2) (2023)
- Optimal control of investment, premium and deductible for a non-life insurance company
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University 
See also Journal Article Optimal control of investment, premium and deductible for a non-life insurance company, Insurance: Mathematics and Economics, Elsevier (2021) View citations (1) (2021)
- Risk Matters: Breaking Certainty Equivalence
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
Also in CESifo Working Paper Series, CESifo (2020) View citations (6)
2015
- Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
2013
- A comparison of numerical methods for the solution of continuous-time DSGE models
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
See also Journal Article A COMPARISON OF NUMERICAL METHODS FOR THE SOLUTION OF CONTINUOUS-TIME DSGE MODELS, Macroeconomic Dynamics, Cambridge University Press (2018) View citations (5) (2018)
2010
- Heterogeneidad en la fijación de precios en Colombia: Análisis de sus determinantes a partir de modelos de conteo
Borradores de Economia, Banco de la Republica de Colombia View citations (2)
See also Journal Article Heterogeneidad en la fijación de precios en Colombia: análisis de sus determinantes a partir de modelos de conteo, Vniversitas Económica, Universidad Javeriana - Bogotá (2011) (2011) Chapter Heterogeneidad en la fijación de precios en Colombia: análisis de sus determinantes a partir de modelos de conteo, Chapters, Banco de la Republica de Colombia (2011) (2011)
2009
- La formación de precios en las empresas colombianas: evidencia a partir de una encuesta directa
Borradores de Economia, Banco de la Republica de Colombia View citations (9)
Also in Borradores de Economia, Banco de la Republica (2009) View citations (7)
See also Chapter La formación de precios en las empresas colombianas: evidencia a partir de una encuesta directa, Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA (2013) View citations (1) (2013)
2008
- Hechos Estilizados de la Economía Colombiana:Fundamentos Empíricos para la Construcción y Evaluación de un Modelo DSGE
Borradores de Economia, Banco de la Republica View citations (16)
Also in Borradores de Economia, Banco de la Republica de Colombia (2008) View citations (5)
- Sensibilidad del IPC a la Tasa de Cambio en Colombia: Una Medición de Largo Plazo
Borradores de Economia, Banco de la Republica 
Also in Borradores de Economia, Banco de la Republica de Colombia (2008) View citations (2)
- Testing a DSGE model and its partner database
Borradores de Economia, Banco de la Republica View citations (1)
Also in Borradores de Economia, Banco de la Republica de Colombia (2008) View citations (3)
2006
- La Tasa de Interés Natural en Colombia
Borradores de Economia, Banco de la Republica de Colombia 
See also Journal Article La Tasa de Interés Natural en Colombia, Revista ESPE - Ensayos Sobre Política Económica, Banco de la República (2007) View citations (8) (2007) Chapter La tasa de interés natural en Colombia, Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA (2008) View citations (2) (2008)
Journal Articles
2024
- Estimation of continuous-time linear DSGE models from discrete-time measurements
Journal of Econometrics, 2024, 244, (2) 
See also Working Paper Estimation of continuous-time linear DSGE models from discrete-time measurements, CREATES Research Papers (2022) (2022)
- Risk sensitive linear approximations
Economics Letters, 2024, 238, (C)
2023
- Optimal asset allocation for commodity sovereign wealth funds
Quantitative Finance, 2023, 23, (3), 471-495 View citations (2)
See also Working Paper Optimal Asset Allocation for Commodity Sovereign Wealth Funds, CREATES Research Papers (2020) View citations (1) (2020)
2022
- Peso problems in the estimation of the C‐CAPM
Quantitative Economics, 2022, 13, (1), 259-313 
See also Working Paper Peso Problems in the Estimation of the C-CAPM, CEPR Discussion Papers (2021) (2021)
2021
- Optimal control of investment, premium and deductible for a non-life insurance company
Insurance: Mathematics and Economics, 2021, 101, (PB), 384-405 View citations (1)
See also Working Paper Optimal control of investment, premium and deductible for a non-life insurance company, CREATES Research Papers (2020) (2020)
- Risk matters: Breaking certainty equivalence in linear approximations
Journal of Economic Dynamics and Control, 2021, 133, (C) View citations (2)
2018
- A COMPARISON OF NUMERICAL METHODS FOR THE SOLUTION OF CONTINUOUS-TIME DSGE MODELS
Macroeconomic Dynamics, 2018, 22, (6), 1555-1583 View citations (5)
See also Working Paper A comparison of numerical methods for the solution of continuous-time DSGE models, CREATES Research Papers (2013) View citations (1) (2013)
2012
- What determines the sensitivity of the real exchange rate in Colombia to a terms of trade shock?
Macroeconomics and Finance in Emerging Market Economies, 2012, 5, (2), 161-176
2011
- Heterogeneidad en la fijación de precios en Colombia: análisis de sus determinantes a partir de modelos de conteo
Vniversitas Económica, 2011, 1-40 
See also Working Paper Heterogeneidad en la fijación de precios en Colombia: Análisis de sus determinantes a partir de modelos de conteo, Borradores de Economia (2010) View citations (2) (2010) Chapter Heterogeneidad en la fijación de precios en Colombia: análisis de sus determinantes a partir de modelos de conteo, Chapters, 2011, 1, 251-293 (2011) (2011)
2007
- La Tasa de Interés Natural en Colombia
Revista ESPE - Ensayos Sobre Política Económica, 2007, 25, (54), 44-89 View citations (8)
Also in Revista ESPE - Ensayos sobre Política Económica, 2007, 25, (54), 44-89 (2007) 
See also Chapter La tasa de interés natural en Colombia, Investigación Conjunta-Joint Research, 2008, 1, 164-201 (2008) View citations (2) (2008) Working Paper La Tasa de Interés Natural en Colombia, Borradores de Economia (2006) (2006)
Books
2010
- Mecanismos de transmisión de la política monetaria en Colombia, vol 1
Books, Universidad Externado de Colombia, Facultad de Finanzas, Gobierno y Relaciones Internacionales
Chapters
2013
- La formación de precios en las empresas colombianas: evidencia a partir de una encuesta directa
Chapter 11 in Dinámica inflacionaria, persistencia y formación de precios y salarios, 2013, pp 273-348 View citations (1)
Also in Chapter 9 in Formación de precios y salarios en Colombia T.1, 2011, vol. 1, pp 297-375 (2011) 
See also Working Paper La formación de precios en las empresas colombianas: evidencia a partir de una encuesta directa, Banco de la Republica de Colombia (2009) View citations (9) (2009)
- Price Formation in Colombian Firms: Evidence Gathered from a Direct Survey
Chapter 11 in Inflationary Dynamics, Persistence, and Prices and Wages Formation, 2013, pp 251-321
2011
- Heterogeneidad en la fijación de precios en Colombia: análisis de sus determinantes a partir de modelos de conteo
Chapter 8 in Formación de precios y salarios en Colombia T.1, 2011, vol. 1, pp 251-293 
See also Journal Article Heterogeneidad en la fijación de precios en Colombia: análisis de sus determinantes a partir de modelos de conteo, Universidad Javeriana - Bogotá (2011) (2011) Working Paper Heterogeneidad en la fijación de precios en Colombia: Análisis de sus determinantes a partir de modelos de conteo, Banco de la Republica de Colombia (2010) View citations (2) (2010)
2008
- La tasa de interés natural en Colombia
Chapter 7 in Estimación y Uso de Variables no Observables en la Región, 2008, vol. 1, pp 164-201 View citations (2)
See also Journal Article La Tasa de Interés Natural en Colombia, Banco de la República (2007) View citations (8) (2007) Working Paper La Tasa de Interés Natural en Colombia, Banco de la Republica de Colombia (2006) (2006)
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