Studies analyzing sensory cortical processing or trying to decode brain activity often rely on a combination of different electrophysiological signals, such as local field potentials (LFPs) and spiking activity. Understanding the relation between these signals and sensory stimuli and between different components of these signals is hence of great interest. We here provide an analysis of LFPs and spiking activity recorded from visual and auditory cortex during stimulation with natural stimuli. In particular, we focus on the time scales on which different components of these signals are informative about the stimulus, and on the dependencies between different components of these signals. Addressing the first question, we find that stimulus information in low frequency bands (<12 Hz) is high, regardless of whether their energy is computed at the scale of milliseconds or seconds. Stimulus information in higher bands (>50 Hz), in contrast, is scale dependent, and is larger when the en...