A Comparison of Alternative Non-parametric Estimators of the Short Rate Diffusion Coefficient RobertoRen`o * , Antonio Roma † and Stephen Schaefer ‡ November 20, 2006 * Corresponding Author, Dipartimento di Economia Politica, Universit` a di Siena, Piazza S.Francesco 7, 53100, Siena, Italy. E-mail: reno@unisi.it. Tel: +39 0577232649, fax: +39 0577232661 † Dipartimento di Economia Politica, Universit` a di Siena, Piazza S.Francesco 7, 53100, Siena, Italy. E-mail: roma@unisi.it. Tel: +39 0577232692, fax: +39 0577232661 ‡ London Business School, Sussex Place, Regent’s Park, London NW1 4SA, UK. E-mail: schaefer@london.edu. Tel: +44 (0)20 7706-6887, fax: +44 (0)20 7724-3317