I don't think that the change in appetite and shedding are related. As noted by Wesley, frogs shed quite frequently, we just don't notice because they eat the old skin. Probably nothing is wrong - I would suggest just watching the frog for a week or so to see if its appetite doesn't pick up. Check temperature and humidity - with all the cold weather, the frogs may be colder than usual (or drier with the furnace running constantly).
With some frogs (White's treefrogs, for example), Chytrid infection can cause changes in the skin, which can have the appearance of sloughing skin. Horned frogs are noted carriers of Chytrid, but they are often unaffected themselves. I suppose you could run the frog through the Lamisil treatment, which is very easy.
Any chance this is related to an attempt to estivate?