Proof.
Let E be an object of D_\mathit{QCoh}(\mathcal{O}_ X). To prove (1) we have to show that Rf_*E has quasi-coherent cohomology sheaves. The question is local on S, hence we may assume S is quasi-compact. Pick N = N(X, S, f) as in Cohomology of Schemes, Lemma 30.4.5. Thus R^ pf_*\mathcal{F} = 0 for all quasi-coherent \mathcal{O}_ X-modules \mathcal{F} and all p \geq N and the same remains true after base change.
First, assume E is bounded below. We will show (1) and (2) and (3) hold for such E with our choice of N. In this case we can for example use the spectral sequence
R^ pf_*H^ q(E) \Rightarrow R^{p + q}f_*E
(Derived Categories, Lemma 13.21.3), the quasi-coherence of R^ pf_*H^ q(E), and the vanishing of R^ pf_*H^ q(E) for p \geq N to see that (1), (2), and (3) hold in this case.
Next we prove (2) and (3). Say H^ m(E) = 0 for m > 0. Let U \subset S be affine open. By Cohomology of Schemes, Lemma 30.4.6 and our choice of N we have H^ p(f^{-1}(U), \mathcal{F}) = 0 for p \geq N and any quasi-coherent \mathcal{O}_ X-module \mathcal{F}. Hence we may apply Lemma 36.3.4 to the functor \Gamma (f^{-1}(U), -) to see that
R\Gamma (U, Rf_*E) = R\Gamma (f^{-1}(U), E)
has vanishing cohomology in degrees \geq N. Since this holds for all U \subset S affine open we conclude that H^ m(Rf_*E) = 0 for m \geq N.
Next, we prove (1) in the general case. Recall that there is a distinguished triangle
\tau _{\leq -n - 1}E \to E \to \tau _{\geq -n}E \to (\tau _{\leq -n - 1}E)[1]
in D(\mathcal{O}_ X), see Derived Categories, Remark 13.12.4. By (2) we see that Rf_*\tau _{\leq -n - 1}E has vanishing cohomology sheaves in degrees \geq -n + N. Thus, given an integer q we see that R^ qf_*E is equal to R^ qf_*\tau _{\geq -n}E for some n and the result above applies.
\square
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