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This paper proposes a multi-scale energy price study highlighting the impact of financial market, political uncertainty and COVID-19 across different time scales. Indeed, we have observed the strong positive dependence between explanatory power and time horizon. In addition, the significance of variables and the sensitivity of energy prices are highly dependent on it. In particular, the oil price is more influenced than the natural gas price, a fact which exposes less important responses and remains almost constant for the different scales.
Keywords: crude oil prices, natural gas prices, economic policy uncertainty, COVID-19, multiscale analysis, financial market