Before revision:  The shrinkage priors are complemented by heavy tailed state innovations that cater for potential large swings in the latent states even if the amount of shrinkage introduced is high . Moreover, we allow for leptokurtic stochastic volatility in the observation equation.
After revision:  The shrinkage priors are complemented by heavy tailed state innovations that cater for potential large breaks in the latent states even if the amount of shrinkage introduced is high . Moreover, we allow for leptokurtic stochastic volatility in the observation equation.