Before revision:  We apply the proposed method in  a dynamic portfolio allocation problem, where the investor is able to learn the contemporaneous relations among different currencies . We show that our approach generates not just significant statistical improvements, but also huge economic gains for a mean-variance investor relative to the Random Walk benchmark and using fixed orders over time.
After revision:  We apply the proposed method in a dynamic portfolio allocation problem, where the investor is able to learn the contemporaneous relations among different currencies improving final decisions and economic performance. The second is a macroeconomic application, where the econometrician can adapt sequentially to new economic environments, switching the contemporaneous relations among macroeconomic variables over time.