  In our paper we analyze the relationship between the day-ahead electricity
price of the Energy Exchange Austria (EXAA) and other day-ahead electricity
prices in Europe. We focus on markets, which settle their prices after the
EXAA, which enables traders to include the EXAA price into their calculations.
For each market we employ econometric models to incorporate the EXAA price and
compare them with their counterparts without the price of the Austrian
exchange. By employing a forecasting study, we find that electricity price
models can be improved when EXAA prices are considered.
