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Economics Research International
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Special Issues
Economics Research International
/
2011
/
Article
/
Tab 5
/
Research Article
Testing for Nonlinear Dependence in the Credit Default Swap Market
Table 5
BDS statistic quantiles for 250 observations for
𝜀
/
𝜎
=
1
.
𝑚
=
2
𝑚
=
3
𝑚
=
4
𝑚
=
5
1
%
−2.52
−2.47
−2.5
−2.52
2
.
5
%
−2.15
−2.17
−2.17
−2.18
9
7
.
5
%
2.27
2.37
2.39
2.56
9
9
%
2.79
2.92
2.96
3.06