Economics Research International

Research Article

Testing for Nonlinear Dependence in the Credit Default Swap Market

Table 3

BDS statistic quantiles for 250 observations for 𝜀 / 𝜎 = 0 . 5 .
𝑚 = 2 𝑚 = 3 𝑚 = 4 𝑚 = 5
1 % −3.05−3.38−4.06−4.86
2 . 5 % −2.64−2.92−3.37−4.11
9 7 . 5 % 2.98 3.23 3.84 4.98
9 9 % 3.71 4.04 4.85 6.44