Contact Information

Biography

Dr. Rui Liu is an Associate Professor of Finance at the Palumbo-Donahue School of Business. Her teaching interests are primarily in investments, portfolio management, fixed income, derivatives, and financial management. Dr. Liu developed a derivatives course for business and mathematics majors pursing the Certificate in Actuarial Science and currently serves as the faculty contact for both the Actuarial Science Certificate and the Quantitative Finance Certificate. 

Her research interests are in empirical asset pricing and macro-finance with emphasis on fixed income markets. She studies the dynamics of the Treasury yield curve, including Treasury risk premia and interest rate volatility. Her research also addresses the effects of monetary policy on financial markets, the term structure of commodity futures, and financial econometrics.

Dr. Liu's research has been published in Journal of Financial Economics, Management Science, Journal of Empirical Finance, Quarterly Journal of Finance, Journal of Commodity Markets, and Review of Quantitative Finance and Accounting.

Among others, her research has been presented at conferences including: the San Francisco Federal Reserve-Bank of Canada Conference on Fixed Income Markets, the Fixed Income and Financial Institutions Conferences, the Canadian Derivatives Institute Conference, and the annual conferences for Financial Management Association, Northern Finance Association, Midwest Finance Association, Southern Finance Association, Southwestern Finance Association, and Commodity and Energy Markets Association. 

Dr. Liu has served as reviewer for academic journals such as Journal of Banking and Finance, Journal of Empirical Finance, Journal of Commodity Markets, and Quantitative Finance.

Education

  • Ph.D., Finance, University of Houston
  • M.Sc., Finance, Auburn University
  • M.B.A., Finance, Auburn University

School

Articles in Journals

Doshi, H., Jacobs, K., & Liu, R. (2024). Modeling Volatility in Dynamic Term Structure Models. Journal of Financial Economics, 161, 103926.

Gao, X., Li, B., & Liu, R. (2023). The Relative Pricing of WTI and Brent Crude Oil Futures: Expectations or Risk Premia. Journal of Commodity Markets, 30, 100274.

Gao, X., Lin, K., & Liu, R. (2022). Tick Size, Institutional Trading, and Market Making: A Study of the SEC Tick Size Pilot Program. The Quarterly Journal of Finance, 12(3), 2250008.

Boyd, N., Li, B., & Liu, R. (2022). Risk Premia in the Term Structure of Crude Oil Futures: Long-run and Short-run Volatility Components. Review of Quantitative Finance and Accounting, 58(4), 1505-1533.

Doshi, H., Jacobs, K., & Liu, R. (2021). Information in the Term Structure: A Forecasting Perspective. Management Science, 67(8), 5255-5277.

Liu, R. (2019). Forecasting Bond Risk Premia with Unspanned Macroeconomic Information. Quarterly Journal of Finance, 1(9), 1-62.

Doshi, H., Jacobs, K., & Liu, R. (2018). Macroeconomic Determinants of the Term Structure: Long-Run and Short-Run Dynamics. Journal of Empirical Finance, 48, 99-122.