Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables

In this paper, we introduce quantile coherency to measure general dependence 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 define estimators which capture the general dependence structure, provide a detailed analysis of their asymptotic properties and discuss how to conduct inference for a general class of possibly nonlinear p...