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Cyber-attacks, spillovers and contagion in the cryptocurrency markets

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


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
Source: Journal of International Financial Markets, Institutions and Money
DOI: 10.1016/j.intfin.2021.101298
Access Rights: Open Access


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