Preheat oven to 350°F (175°C). Grease and flour a 9x13-inch baking pan.

In a large bowl, combine the cake mix, dry pudding mix, and the ingredients called for on the cake mix box. Beat until well combined.

Pour the batter into the prepared pan and bake according to package directions, or until a skewer inserted into the center comes out clean. Let the cake cool on a wire rack for 15 minutes.

While the cake is warm, use the handle of a wooden spoon to poke holes all over the cake, about an inch apart.

In a bowl, whisk together the sweetened condensed milk and caramel sauce. Pour the mixture evenly over the cake, allowing it to sink into the holes.

To make the frosting, combine the evaporated milk, sugar, egg yolks, and butter in a medium saucepan over medium heat. Cook, stirring constantly, until the mixture thickens, about 10-12 minutes. Do not boil.

Remove the frosting from the heat and stir in the vanilla extract, shredded coconut, and chopped pecans.

Let the frosting cool for about 20-30 minutes, or until thick enough to spread. Pour over the cake and spread evenly.

Refrigerate the cake for at least 4 hours, or overnight, before slicing and serving.