Wavelet analysis of S&P 500, oil prices, and economic policy uncertainty
We collect a total of 1830 data from January 2020 to June 2022 and use R for data processing and wavelet analysis. Moreover, we analyze the interactions between the COVID-19 pandemic, the Russian-Ukrainian war, crude oil price, the S&P 500 and economic policy uncertainty within a time-frequency frame work. As a result that the COVID-19 pandemic and the Russian-Ukrainian war has the extraordinary effects on the three indexes and the effect of the Russian- Ukrainian war on the crude oil price and US stock price higher than on the US economic uncertainty.
Proceedings of SPIE - The International Society for Optical Engineering
Shen, Yijun; Lai, Zhengyi; Zhao, Zhengyang; and Tao, Zheng, "Wavelet analysis of S&P 500, oil prices, and economic policy uncertainty" (2023). Kean Publications. 397.