It usually takes birds a while to bond with you. They're intelligent, and their whole world gets turned upside down when they move to a new home. It often takes a while for the bird to get to know and trust you.
You can help the process by not pushing the bird's limits. Spend time near it, but not too close if it appears nervous. If it's not comfortable being handled much, don't push it. You can also use yummy foods as bribes!
When I first got my cockatiels when I was a kid, my mom and I would pin millet sprays to our shirts and walk around with the birds on us, so they'd be happy to be with us. Puck LOVES toast with jelly! He loves it so much that if he sees me holding it, he'll get mad at me because he doesn't have it already. LOL. Caiques have serious attitudes.
Also, make sure you've got your new friend on a good diet! It's VERY important! It prevents illness, and in some cases, behavioral problems. Seeds should only be given as a treat, not as a main food source. Pellets are more balanced. I like Harrison's because they're organic, and it was one of the ones that my vet recommended. I feed Puck the high potency one, because I want him to have as much nutrition as possible.
It's also a good idea to take your bird in for a checkup with an avian vet, just to be sure that it's healthy. Birds often don't show signs of illness until it's serious, so it's important to try to catch things before symptoms show.
Congratulations on your new baby!! He/she sure is pretty!! :-D