Current widely used approaches to calculate spectral functions using the density-matrix renormalization group in frequency space either necessarily include an artificial broadening (correction-vector method), have limited resolution (time-domain density-matrix renormalization group with Fourier transform method), or are limited to low-energy properties or single dominant modes (original continued fraction method). Here we propose an adaptive Lanczos-vector method to calculate the coefficients of a continued fraction expansion of the spectral function iteratively. We show that one can obtain a very accurate representation of the spectral function very efficiently, and that one can also directly extract the spectral weights and poles for the discrete system.