Testing for Nonlinear Dependence in the Credit Default Swap Market

Table 2

Empirical size of the BDS test, for 𝜀/𝜎=0.7, for the equity indices and the bond fund.

	S&P 500	DAX	FTSE 100	NIKKEI 225	BOND FUND
𝑚=2	1.2476	−0.5704	0.9501	0.2489	1.6361
𝑚=3	1.5542	−0.2726	0.2748	0.1059	1.4308
𝑚=4	0.7833	−0.4173	−0.0121	0.2425	0.7469
𝑚=5	0.4714	−0.4632	0.1807	0.3959	1.0804