Testing for Nonlinear Dependence in the Credit Default Swap Market

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.