Neurovascular coupling refers to the mechanism that links the transient neural activity to the subsequent change in cerebral blood flow, which is regulated by both chemical signals and mechanical effects. Recent studies suggest that neurovascular coupling in neonates and preterm born infants is different compared to adults. The hemodynamic response after a stimulus is later and less pronounced and the stimulus might even result in a negative (hypoxic) signal. In addition, studies both in animals and neonates confirm the presence of a short hypoxic period after a stimulus in preterm infants. In clinical practice, different methodologies exist to study neurovascular coupling. The combination of functional magnetic resonance imaging or functional near-infrared spectroscopy (brain hemodynamics) with EEG (brain function) is most commonly used in neonates. Especially near-infrared spectroscopy is of interest, since it is a non-invasive method that can be integrated easily in clinical care and is able to provide results concerning longer periods of time. Therefore, near-infrared spectroscopy can be used to develop a continuous non-invasive measurement system, that could be used to study neonates in different clinical settings, or neonates with different pathologies. The main challenge for the development of a continuous marker for neurovascular coupling is how the coupling between the signals can be described. In practice, a wide range of signal interaction measures exist. Moreover, biomedical signals often operate on different time scales. In a more general setting, other variables also have to be taken into account, such as oxygen saturation, carbon dioxide and blood pressure in order to describe neurovascular coupling in a concise manner. Recently, new mathematical techniques were developed to give an answer to these questions. This review discusses these recent developments.