Classical spectral analysis is based on the discrete Fourier transform of the autocovariances. In this article we investigate the asymptotic properties of new frequency‐domain methods where the autocovariances in the spectral density are replaced by alternative dependence measures that can be...

In this paper, we introduce quantile coherency to measure general de- pendence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains invisible when only the traditional analysis is employed. We...