Bootstrapping Multivariate Spectra

11 Pages Posted: 31 Oct 2008

See all articles by Jeremy Berkowitz

Jeremy Berkowitz

University of Houston - Department of Finance

Francis X. Diebold

University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

Date Written: August 1997

Abstract

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

Suggested Citation

Berkowitz, Jeremy and Diebold, Francis X., Bootstrapping Multivariate Spectra (August 1997). NYU Working Paper No. SOR-98-9, Available at SSRN: https://ssrn.com/abstract=1290960

Jeremy Berkowitz (Contact Author)

University of Houston - Department of Finance ( email )

Houston, TX 77204
United States

Francis X. Diebold

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States
215-898-1507 (Phone)
215-573-4217 (Fax)

HOME PAGE: http://www.ssc.upenn.edu/~fdiebold/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
51
Abstract Views
610
rank
475,076
PlumX Metrics