JUAN CARLOS PARRA-ALVAREZ
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Risk sensitive linear approximations
[
Online Appendix
]
with Gustavo Solórzano Andrade
Economics Letters (
Accepted for publication
)
Optimal asset allocation for commodity sovereign wealth funds
with Alfonso Irarrazabal and Lin Ma
Quantitative Finance
(2023), Volume 23, Issue 3, pp. 471-495.
Estimation of heterogeneous agent models: A likelihood approach
[
Online Appendix
]
with Olaf Posch and Mu-Chun Wang
Oxford Bulletin of Economics and Statistics
(2023), Volume 85, Issue 2, pp. 304-330.
Peso problems in the estimation of the C-CAPM
[
Online Appendix
]
[
codes
]
with Olaf Posch and Andreas Schrimpf
Quantitative Economics
(2022), Volume 13, Issue 1, pp. 259-313.
Risk matters: Breaking certainty equivalence in linear models
[
Online Appendix
]
[
codes
]
with Hamza Polattimur and Olaf Posch
Journal of Economic Dynamics and Control
(2021), Volume 133.
Optimal control of investment, premium and deductible for a non-life insurance company
with Bent Jesper Christensen and Rafael Serrano
Insurance: Mathematics and Economics
(2021)
,
Volume 101, pp. 384-405.
A comparison of numerical methods for the solution of continuous-time DSGE models
[
codes
]
Macroeconomic Dynamics
(2018)
,
Volume 22, Issue 6, pp. 1555-1538
.
Blog coverage:
NEP-DGE blog
What determines the sensitivity of the real exchange rate in Colombia to a terms of trade shock
?
with Lavan Mahadeva
Macroeconomics and Finance in Emerging Markets Economies
(2012),
No. 5, pp. 161-176.
La tasa de interés natural en Colombia
(
"The natural rate of interest in Colombia")
with J.J. Echavarría, M. Misas, E. López and J. Tellez
Ensayos Sobre Política Económica
(2007)
,
No. 54, pp. 44-89
Home
Curriculum Vitae
Research
Publications
Working papers
Chapters in books
Work in progress
Codes
Teaching
Other links