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1 Study of the Extreme behavior of the Stock Market and the correct pattern of the distribution of returns has an important role in the management of market risk. The current study, based on BMM approach, examines the distribution pattern of return in Tehran Stock Exchange in different time intervals. In order to choose the appropriate model in different time series, L-Moment ratio diagram was used. Then, by using the calculation of parameters of the selected models based on the approach ofdoi:10.52547/jfmp.9.27.29 fatcat:357aunh6ebhbtmene627jtlrx4