In this paper TVECMs are applied to examine the integration of European Electricity Markets. The relationships among EEX, Powernext and Omel spot and forward prices are assessed allowing for the possibility that the convergence in prices may not always be operational. Indeed, interdependences may occur only when the spread in prices between two markets is larger than transaction costs and diferences in the perceived risks. As a main result, allowing for non-linear adjustment dynamics improves the accuracy of the model.