This study examines latent shifts in the conditional volatility and correlation for the U.S. stock and T-bond data … using the two-state Markov-switching range-based volatility and correlation models. This paper comes up with clear evidence … of volatility regime-switching in stock indices and T-bond over the crisis period. As regards the process of correlation …

volatility. However, this predictive power of the LOB declines during extreme market-wide movements. We also find that buy orders … are more informative for future price volatility than sell orders, but sell (buy) orders become more informative during …