This paper concerns the uniform inference for nonparametric series estimators in time-series applications. We develop a strong approximation theory of sample averages of serially dependent random vectors with dimensions growing with the sample size. The strong approximation is first proved for...

This paper develops textual sentiment measures for China's stock market by extracting the textual tone of 60 million messages posted on a major online investor forum in China from 2008 to 2018. We conduct sentiment extraction by using both conventional dictionary methods based on customized word...