Bootstrapping multivariate spectra

We generalize the Franke-Hardle (1992) spectral-density bootstrap to the mu ltivariate case. The extension is nontrivial and facilitates use of the Fra nke-Hardle bootstrap in frequency-domain econometric work, which often cent ers on crossvariable dynamic interactions. We document the bootstrap's good finite-sample performance in a small Monte Carlo experiment, and we conclu de by highlighting key directions for future research.