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Are you talking about something like this? $$dx(t)=\ldots\ dt+[x(t)]^\gamma\ dW(t)$$ If $\gamma$ is zero then you've got BM, if it's one you get GBM, inbetween you have a 'mix'.
answered Jul 23 '16 by Kiwiakos
14
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I think you need to differentiate between Q-quants vs P-quants. The former might not use Econometrics, but P-quants use them a lot.
answered May 11 '16 by Kiwiakos