Before revision:  We define a novel estimator of the effect which is based on a pre-estimation of the Fourier coefficients of the return and of the volatility process as defined in Malliavin and Mancino (2002). We establish the consistency of the estimator and we analyse its finite sample performance in the presence of microstructure noise contamination.
After revision:  We define a novel estimator of the effect which is based on a pre-estimation of the Fourier coefficients of the return and the volatility processes. The consistency of the estimator and we analyse its finite sample performance in the presence of microstructure noise contamination.