Interesting paper! We just published a similar project, but in a more econometric focused context. However, we also find it interesting that even really simple

Interesting paper! We just published a similar project, but in a more econometric focused context. However, we also find it interesting that even really simple models (like AR1 with SV) outperformed more sophisticated ones (e.g. TVPs without TVP). If you are interested: https://onlinelibrary.wiley.com/doi/full/10.1002/for.2524 https://onlinelibrary.wiley.com/doi/full/10.1002/for.2524