Title: Fourier analysis of serial dependence measures,
Abstract: Classical spectral analysis is based on the discrete Fourier transform of the
auto-covariances. In this paper we investigate the asymptotic properties of new
frequency domain methods where the auto-covariances in the spectral density are
replaced by alternative dependence measures which can be estimated by
U-statistics. An interesting example is given by Kendall{'}s $\tau$ , for which
the limiting variance exhibits a surprising behavior.