In this paper we investigate the extent to which the price of Nordic electricity derivatives correlates with European Energy Exchange (EEX) and Intercontinental Exchange (ICE) electricity contracts. We also include their price correlation with ICE gas, Brent crude oil, coal and carbon emission contracts. Using multivariate generalized autoregressive conditional heteroskedasticity models, we find significant time-varying relationships between all of the energy commodities included in the analysis, with the exception of oil. This suggests that pricing models based on constant correlation may be misleading. We also find that Nordic energy futures exhibit the strongest relationship with German electricity futures contracts traded in the EEX, and there appears to be a stronger relationship between longer maturity contracts in all markets.