Juan Carlos Parra-Alvarez
Juan Carlos Parra-Alvarez is Postodoctoral researcher affiliated with the Finance Research Group at Aalborg University Business School. He is also is research fellow at CREATES, Aarhus University, and the Danish Finance Institute. Juan Carlos holds a PhD in Economics and Business from Aarhus University. His research interests lie within the fields of quantitative macroeconomics and finance with a particular focus on the solution and estimation of equilibrium dynamic economies.
Parra-Alvarez, J. C., Posch, O. & Wang, M. C. (2023). Estimation of Heterogeneous Agent Models: A Likelihood Approach. Oxford Bulletin of Economics and Statistics, 85(2), 304-330. https://doi.org/10.1111/obes.12531
Parra-Alvarez, J. C., Irarrazabal, A. & Ma, L. (2023). Optimal asset allocation for commodity sovereign wealth funds. Quantitative Finance, 23(3), 471-495. https://www.tandfonline.com/doi/full/10.1080/14697688.2022.2158918?src=
Christensen, B. J., Neri, L. & Parra-Alvarez, J. C. (2022). Estimation of continuous-time linear DSGE models from discrete-time measurements. Aarhus Universitet. CREATES Research Paper Nr. 2022-12
Parra-Alvarez, J. C., Posch, O. & Schrimpf, A. (2022). Peso problems in the estimation of the C-CAPM. Quantitative Economics, 13(1), 259-313. https://doi.org/10.3982/QE1478
Christensen, B. J., Parra-Alvarez, J. C. & Serrano, R. (2021). Optimal control of investment, premium and deductible for a non-life insurance company. Insurance: Mathematics and Economics, 101(Part B), 384-405. https://doi.org/10.1016/j.insmatheco.2021.07.005
Parra-Alvarez, J. C., Polattimur, H. & Posch, O. (2021). Risk matters: Breaking certainty equivalence in linear approximations. Journal of Economic Dynamics and Control, 133, artikel 104248. https://doi.org/10.1016/j.jedc.2021.104248
Parra-Alvarez, J. C., Posch, O. & Wang, M-C. (2020). Estimation of heterogeneous agent models: A likelihood approach. Institut for Økonomi, Aarhus Universitet. CREATES Research Paper Nr. 2020-05
Irarrazabal, A., Ma, L. & Parra-Alvarez, J. C. (2020). Optimal Asset Allocation for Commodity Sovereign Wealth Funds. Institut for Økonomi, Aarhus Universitet. CREATES Research Paper Nr. 2020-10
Christensen, B. J., Parra-Alvarez, J. C. & Serrano, R. (2020). Optimal control of investment, premium and deductible for a non-life insurance company. Institut for Økonomi, Aarhus Universitet. CREATES Research Paper Nr. 2020-11
Parra-Alvarez, J. C., Polattimur, H. & Posch, O. (2020). Risk Matters: Breaking Certainty Equivalence. CREATES, Institut for Økonomi, Aarhus Universitet. CREATES Research Paper Nr. 2020-02
Parra-Alvarez, J. C. (2018). A comparison of numerical methods for the solution of continuous-time DSGE models. Macroeconomic Dynamics, 22(6), 1555-1583. https://doi.org/10.1017/S1365100516000821
Parra-Alvarez, J. C., Posch, O. & Wang, M-C. (2017). Identification and estimation of heterogeneous agent models: A likelihood approach. Institut for Økonomi, Aarhus Universitet. CREATES Research Paper Nr. 2017-35
Parra-Alvarez, J. C. (2015). Solution Methods and Inference in Continuous-Time Dynamic Equilibrium Economies. Institut for Økonomi, Aarhus Universitet. Ph.D. Theses Bind 2015-12
Irarrazabal, A. & Parra-Alvarez, J. C. (2015). Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis. Institut for Økonomi, Aarhus Universitet. CREATES Research Paper Nr. 2015-08
Parra-Alvarez, J. C. (2013). A comparison of numerical methods for the solution of continuous-time DSGE models. Institut for Økonomi, Aarhus Universitet. CREATES Research Paper Nr. 2013-39
Parra-Alvarez, J. C. & Mahadeva, L. (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, 5(2), 161-176. https://doi.org/10.1080/17520843.2012.682595
Parra-Alvarez, J. C., Misas Arango, M. & López Enciso, E. (2010). Heterogeneidad en la fijación de precios en Colombia: Análisis de sus determinantes a partir de modelos de conteo. Banco de la República. http://www.banrep.gov.co/docum/ftp/borra628.pdf
Misas, M., López, E. & Parra-Alvarez, J. C. (2009). La formación de precios en las empresas colombianas: evidencia a partir de una encuesta directa. Banco de la República. http://www.banrep.gov.co/docum/ftp/borra569.pdf
Parra-Alvarez, J. C. (2008). Hechos estilizados de la economía colombiana: fundamentos empíricos para la construcción y evaluación de un modelo DSGE. Banco de la República. http://www.banrep.gov.co/docum/ftp/borra509.pdf
Parra-Alvarez, J. C. (2008). Sensibilidad del IPC a la Tasa de Cambio en Colombia: Una Medición de Largo Plazo. Banco de la República. http://www.banrep.gov.co/docum/ftp/borra542.pdf
Mahadeva, L. & Parra-Alvarez, J. C. (2008). Testing a DSGE model and its partner database. Banco de la República. http://www.banrep.gov.co/docum/ftp/borra479.pdf
Parra-Alvarez, J. C., Echavarría, J. J., Lopéz, E., Misas, M. & Téllez, J. (2007). La Tasa de Interés Natural en Colombia. Ensayos Sobre Politica Economica, 54. http://www.banrep.gov.co/docum/ensayos/pdf/espe_054-2.pdf
