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

Working Papers

2022

1. 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

2. 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

3. Estimation of heterogeneous agent models: A likelihood approach
   Discussion Papers, Deutsche Bundesbank View citations (4)
   Also in CESifo Working Paper Series, CESifo (2017) View citations (6)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2020) View citations (6)
4. 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)
5. 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)
6. Risk Matters: Breaking Certainty Equivalence
   CESifo Working Paper Series, CESifo View citations (6)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2020) View citations (4)

2015

7. 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

8. 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

9. 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 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)
   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)

2009

10. 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

11. 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)
12. 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)
13. 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

14. La Tasa de Interés Natural en Colombia
    Borradores de Economia, Banco de la Republica de Colombia
    See also Chapter La tasa de interés natural en Colombia, Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA (2008) View citations (2) (2008)
    Journal Article La Tasa de Interés Natural en Colombia, Revista ESPE - Ensayos Sobre Política Económica, Banco de la República (2007) View citations (8) (2007)

Journal Articles

2024

1. 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)
2. Risk sensitive linear approximations
   Economics Letters, 2024, 238, (C)

2023

3. 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

4. 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

5. 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)
6. Risk matters: Breaking certainty equivalence in linear approximations
   Journal of Economic Dynamics and Control, 2021, 133, (C) View citations (2)

2018

7. 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

8. 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

9. 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

10. 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 Working Paper La Tasa de Interés Natural en Colombia, Borradores de Economia (2006) (2006)
    Chapter La tasa de interés natural en Colombia, Investigación Conjunta-Joint Research, 2008, 1, 164-201 (2008) View citations (2) (2008)

Books

2010

1. 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

1. 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)
2. 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

3. 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 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)
   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)

2008

4. 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 Working Paper La Tasa de Interés Natural en Colombia, Banco de la Republica de Colombia (2006) (2006)
   Journal Article La Tasa de Interés Natural en Colombia, Banco de la República (2007) View citations (8) (2007)