Bootstrapping Multivariate Spectra

We generalize the Franke-HAtilde; Acirc;curren;rdle (1992) spectral density bootstrap to themultivariate case. The extension is non-trivial and facilitates use of the Franke-HAtilde; Acirc;curren;rdlebootstrap in frequency-domain econometric work, which often centers on cross-variabledynamic interactions. We document the bootstrapAtilde;cent;Acirc; Acirc; s good finite-sample performance in asmall Monte Carlo experiment, and we conclude by highlighting key directions for futureresearch