Before revision:  In an empirical illustration we examine one of the most prominent time series in economics and shed new light on the dependence of bivariate stock market returns  .
After revision:  In an empirical illustration we examine one of the most prominent time series in economics and shed new light on the dependence of bivariate stock market returns and shed new light on measurement of tail risk in financial markets. We also provide a modelling exercise to illustrate how applied researchers can benefit from using quantile coherency when assessing time series models .