Overview
David E. Runkle is an economist who has worked in academia, at the Federal Reserve Bank of Minneapolis, and in the financial industry, with research in macroeconomics, applied econometrics, and empirical finance.
Key Contributions / Features
- GJR-GARCH (Glosten-Jagannathan-Runkle 1993): co-developed the asymmetric GARCH-in-mean model and the negative conditional risk-return finding (GARCH).
- Work on vector autoregressions, consumption, and forecasting.
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