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Based on the known binary sequence sets and Gray mapping, a new method for constructing quaternary sequence sets is presented and the resulting sequence sets' properties are investigated. As three direct applications of the proposed method, when we choose the binary aperiodic, periodic, and Z-complementary sequence sets as the known binary sequence sets, the resultant quaternary sequence sets are the quaternary aperiodic, periodic, and Z-complementary sequence sets, respectively. In comparison with the method proposed by Jang et al., the new method can cope with either both the aperiodic and periodic cases or both even and odd lengths of sub-sequences, whereas the former is only fit for the periodic case with even length of sub-sequences. As a consequence, by both our and Jang et al.'s methods, an arbitrary binary aperiodic, periodic, or Z-complementary sequence set can be transformed into a quaternary one no matter its length of sub-sequences is odd or even. Finally, a table on the existing quaternary periodic complementary sequence sets is given as well.