Before revision: In this paper  we introduce quantile cross-spectral analysis of multiple time series which is designed to detect general dependence structures emerging in quantiles of the joint distribution in the frequency domain . We argue that this type of dependence is natural for economic time series but remains invisible when  the traditional analysis is employed.
After revision: In this paper we introduce quantile cross-spectral analysis of multiple time series which is designed to detect general dependence structures emerging in quantiles of the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains invisible when the traditional analysis is employed.