  We employ the jackknife algorithm to analyze the propagation of the
statistical quantum Monte Carlo error through the Bethe--Salpeter equation.
This allows us to estimate the error of dynamical mean-field theory
calculations of the susceptibility and of dynamical vertex approximation
calculations of the self-energy. We find that the different frequency
components of the susceptibility are uncorrelated, whereas those of the
self-energy are correlated. For improving the quality of the correlation matrix
taking sufficiently many jackknife bins is key, while for reducing the standard
error of the mean sufficiently many Monte Carlo measurements are necessary. We
furthermore show that even in the case of the self-energy, the finite
covariance does not have a sizable influence on the analytic continuation.
