Berkowitz, Jeremy; Diebold, Francis X. - In: The Review of Economics and Statistics 80 (1998) 4, pp. 664-666
We generalize the Franke-Härdle (1992) spectral-density bootstrap to the multivariate case. The extension is nontrivial and facilitates use of the Franke-Härdle bootstrap in frequency-domain econometric work, which often centers on crossvariable dynamic interactions. We document the...