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.
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