Testing for Nonlinear Dependence in the Credit Default Swap Market

Table 9

Correlation dimension 𝐷_𝑐 test.

	S&P		CDS1		CDS2		CDS3
𝑛	14822		391		334		329
2log10𝑛	8.3418		5.1844		5.0475		5.0344
	𝐷𝑐	Prob	𝐷𝑐	Prob	𝐷𝑐	Prob	𝐷𝑐	Prob
𝑚=2	3.7928	0.0246	3.5434	0.0265	4.1855	0.0288	3.8687	0.0297
𝑚=3	5.6521	0.0245	5.2806	0.0262	6.0988	0.0290	5.6561	0.0308
𝑚=4	7.5085	0.0245	7.0671	0.0258	8.0213	0.0281	7.2858	0.0333
𝑚=5	9.5099	0.0344	9.0264	0.0350	9.9678	0.0378	8.7685	0.0485
𝑚=6	11.1700	0.0244	10.5692	0.0262	11.6708	0.0277	9.6198	0.0464