Before revision:  A carefully designed sequential Monte Carlo algorithm provides out-of-sample empirical evidence that our suggested model outperforms, with respect to predictive Bayes factors, modelsthat do not exploit the panel structure of stocks .
After revision:  To evaluate the proposed modelling approach we conduct out-of-sample empirical evidence that our suggested model outperforms, with respect to predictive Bayes factors, modelsthat do not exploit the panel structure of stocks .