Table 6: Empirical size of the BDS test, for 𝜀 / 𝜎 = 1 , for iTraxx CDS index.

CDS 1 B/strp Pr CDS 2 B/strp Pr CDS 3

𝑚 = 2 2.5880* 0.0192 5.5848* 0.0000 6.7298*
𝑚 = 3 3.2512* 0.0048 7.3115* 0.0000 5.6993*
𝑚 = 4 3.2693* 0.0056 8.7085* 0.0000 8.3640*
𝑚 = 5 3.2368* 0.0080 9.8585* 0.0000 11.1835*

* indicates rejection of the null hypothesis at a 5% significance level.