Skip navigation
Skip navigation

Cyber-attacks, spillovers and contagion in the cryptocurrency markets

Caporale, Guglielmo; Kang, Woo-Young; Spagnolo, Fabio; Spagnolo, Nicola

Description

This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum) and the role played by cyber-attacks. Specifically, trivariate GARCH-BEKK models are estimated which include suitably defined dummies corresponding to different types, targets and number per day of cyber-attacks. Significant dynamic linkages (interdependence) between the three cryptocurrencies under investigation are found in most cases when cyber-attacks are taken into...[Show more]

CollectionsANU Research Publications
Date published: 2021
Type: Journal article
URI: http://hdl.handle.net/1885/299545
Source: Journal of International Financial Markets, Institutions and Money
DOI: 10.1016/j.intfin.2021.101298
Access Rights: Open Access

Download

File Description SizeFormat Image
1-s2.0-S1042443121000172-main.pdf2.69 MBAdobe PDFThumbnail


This item is licensed under a Creative Commons License Creative Commons

Updated:  17 November 2022/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator