Juan Carlos Parra-Alvarez

Aarhus University - CREATES

Department of Economics and Business

Fuglesangs Allé 4

Aarhus V, 8210

Denmark

SCHOLARLY PAPERS

5

DOWNLOADS

677

SSRN CITATIONS

5

CROSSREF CITATIONS

4

Scholarly Papers (5)

1.

A Comparison of Numerical Methods for the Solution of Continuous-Time DSGE Models

CREATES Research Paper 2013-39
Number of pages: 35 Posted: 25 Nov 2013
Juan Carlos Parra-Alvarez
Aarhus University - CREATES
Downloads 224 (185,820)
Citation 2

Abstract:

Loading...

Continuous-Time DSGE Models, Linear-Quadratic Approximation, Perturbation Method, Projection Method

2.

Estimation of Heterogeneous Agent Models: A Likelihood Approach

CESifo Working Paper Series No. 6717
Number of pages: 35 Posted: 04 Jun 2020
Juan Carlos Parra-Alvarez, Olaf Posch and Mu‐Chun Wang
Aarhus University - CREATES, Universität Hamburg, Department of Economics and University of Hamburg - Faculty of Economics and Business Administration
Downloads 144 (272,726)
Citation 3

Abstract:

Loading...

heterogeneous agent models, continuous-time, Fokker-Planck equations, identification, maximum likelihood

3.

Peso Problems in the Estimation of the C-CAPM

Quantitative Economics (accepted for publication)
Number of pages: 56 Posted: 10 Jul 2012 Last Revised: 24 Jun 2021
Juan Carlos Parra-Alvarez, Olaf Posch, Andreas Schrimpf and Andreas Schrimpf
Aarhus University - CREATES, Universität Hamburg, Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 128 (298,452)
Citation 2

Abstract:

Loading...

Rare disasters, Asset pricing errors, C-CAPM

4.

Time-Varying Disaster Risk Models: An Empirical Assessment of the Rietz-Barro Hypothesis

Number of pages: 46 Posted: 03 Feb 2015
Alfonso Irarrazabal, Alfonso Irarrazabal and Juan Carlos Parra-Alvarez
Norge BankBI Norwegian School of Business and Aarhus University - CREATES
Downloads 104 (345,378)

Abstract:

Loading...

Rare events, disaster risk, recursive preferences, intertemporal elasticity of substitution, projection methods, asset pricing

5.

Risk Matters: Breaking Certainty Equivalence in Linear Approximations

Number of pages: 58 Posted: 18 May 2018 Last Revised: 29 Oct 2020
Juan Carlos Parra-Alvarez, Hamza Polattimur and Olaf Posch
Aarhus University - CREATES, University of Hamburg and Universität Hamburg, Department of Economics
Downloads 77 (415,217)
Citation 1

Abstract:

Loading...

Certainty equivalence, Perturbation methods, Pricing errors