Ju, Hann-Shing; Chen, Ren-Raw; Yeh, Shih-Kuo; Yang, … - In: Review of Quantitative Finance and Accounting 44 (2015) 1, pp. 89-111
extended Geske–Johnson Model. Working paper, <CitationRef CitationID="CR10">2006</CitationRef>), which extends the Geske and … firm using the multi-period Geske–Johnson model that assumes endogenous default barriers. Second, based on the arbitrage … performance of 369 North American obligators from 2004 to 2008, we find that the extended Geske–Johnson model is more suitable …
