
Hi, You may consider the wild bootstrap, which is applicable to general conditionally or unconditionally heteroskdastic time series. Let rt is the time series (say return). Then the bootstrap sample is generated as  rt* = mt X rt where mt is any iid random variable with mean 0 and variance 1. As an example, mt can be 1 with prob = 0.5 and -1 with with prob = 0.5 (Rademacher distribution), among others. Then when rt is volatile, rt* is also volatile. When rt has an extreme value, so has rt*. So the wild bootstrap can replicate heavy tailed data or extremes, I suppose. The references for the wild bootstrap are 
MammMammen, E., 1993, Bootstrap and wild bootstrap for high dimensional linear models, The Annals of Statistics 21, 255-285.
Kim, J. Kim, J. H., 2006, Wild bootstrapping variance ratio tests, Economics Letters 92, 38-43. (This test is in vrtest package)Goncalves, S. and L. Kilian (2004). "Bootstrapping autoregressive with conditional heteroskedasticity of unknown form." Journal of Econometrics 123(1): 83-120.

Hope this helps. JHK> Date: Wed, 18 Jun 2008 06:19:07 -0700> From: weihanliu2002@yahoo.com> To: brian@braverock.com> CC: r-sig-finance@stat.math.ethz.ch> Subject: Re: [R-SIG-Finance] Resampling Methods for Dependent Data> > Hi:> Yes, I know 'tsboot' package and it is designed to generate resample using fixed or random block lengths. However, I am curious if it can be used to bootstrap heavy-tailed data and extremes.> Wei-han> > > ----- Original Message ----> From: Brian G. Peterson <brian@braverock.com>> To: Wei-han Liu <weihanliu2002@yahoo.com>> Cc: r-sig-finance@stat.math.ethz.ch> Sent: Wednesday, June 18, 2008 6:05:03 PM> Subject: Re: [R-SIG-Finance] Resampling Methods for Dependent Data> > Wei-han Liu wrote:> > I am reading a book by Lahiri (2003): Resampling Methods for Dependent> > Data. I am trying to implement some of the techniques that book has> > introduced, e.g. model-based bootstrap, block bootstrap method, and> > bootstrapping heavy-tailed data and extremes.> > Could somebody share any information helpful in this regard?> > There has been a ton of information posted on this list on bootstrapping> techniques. I suggest searching the list archive. Jrff has already> suggested the 'tsboot' package, which has been previously discussed here> in some depth.> > When you have more specific questions, successes, or failures in your> investigation of these techniques, please share them with the list so> others can benefit from your experience. Bootstrap techniques are so> important in modern financial analytics that just about anything you> discover (good or bad) will likely be useful to someone else on this list.> > Regards,> > - Brian> > > > [[alternative HTML version deleted]]> > _______________________________________________> R-SIG-Finance@stat.math.ethz.ch mailing list> https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only.> -- If you want to post, subscribe first.
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