Economics Research International

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