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As o_e_l_e_o explained above, yubikey will simply prevent the hacker from accessing your account if your login and password get compromised.
However, nor yubikey nor any any other 2fa app (google auth, authy..) will help in case the hacker gets access to the exchange's hot/cold wallets private keys.
Still, since it's a hardware device and the attacker will need a physical access to it then I assume it's more secure compared to other apps.