I don't know anything about dogs, but a friend with a kitten sat it on the windowsill between them while they watched the fireworks and kept saying appreciative things like "That was a good one!" and "Did you see that" and "Oh how wonderful" so that the cat learnt that they had no concerns and were enjoying the show. It grew up unafraid. so did their next who had the same lessons.
The theory was that if you show that you think they will be worried, they pick up on it and it is self-fulfilling. I think that whatever you do to calm their fears, it must be in a matter-of-fact way and without underlining their natural fear of danger from the unknown.
Children pick up on adults' reactions too. We always greeted thunderstorms with interest, not fear, and would count seconds between flash and bang to track the passage of the storm, and estimate how many inches of rain were falling outside. None of ouir chuildren developed a fear of lightning or thunder (healthy respect, yes, but not terror)
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Never thought this sort of thing would bother me - but grandchild prefers other Nan to me.

or should it be 


verbs, dammit.