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Kenneth Rogoff and Richard Meese received an incredulous reaction to their now-famous paper showing that random-walk (RW) forecasts outperform economic models of exchange rates. Reactions were along the line of “You just cannot possibly have done it right” or "the results are obviously garbage". Turned out they were correct. Rogoff makes an ...


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tl;dr: informally: You cannot know the value of the difference of two random variables by knowing their sum. Consider the following set $A =\{ \omega \in \Omega | W_1(t)(\omega) - W_2(t)(\omega) \in [0,1] \}$ This set is of course in the Filtration generated by $W_1$ and $W_2$ since the addition of measurable functions is measurable. Is this set in the (...


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