Testing for Nonlinear Dependence in the Credit Default Swap Market

Table 4

Empirical size of the BDS test, for 𝜀/𝜎=0.5, for iTraxx CDS index.

	CDS 1	B/strp; Pr	CDS 2	B/strp; Pr	CDS 3	B/strp; Pr
𝑚=2	2.1639	0.0568	5.7869*	0.0024	11.6932*	0.0000
𝑚=3	3.4017*	0.0064	8.6165*	0.0000	15.3103*	0.0000
𝑚=4	3.9726*	0.0080	10.3502*	0.0000	30.2382*	0.0000
𝑚=5	3.8763	0.0136	10.9620*	0.0000	62.6563*	0.0000