Ensuring the security of stable, efficient, and reliable energy supplies has intensified the interconnections among energy markets. Imbalances between supply and demand due to operational failures, congestions and other sources of risk faced by these connections can lead to a system that is vulnerable to the spread of risk and its spill-over. The main contribution of this paper lies in the adoption of recently proposed network models in an innovative way, which enhances the proper analysis of these market connections. The case of the Italian energy market is studied because it is a clear example of a zonal market where risk can spread across connected zones. We estimate within-day and across-day zonal market interconnections with a multivariate time series of hourly prices, forecast demand and wind generation over the period 2010 – 2016 and evaluate the dynamics and persistence of zonal market connections examining the central market and the spread of risk in the zones of the Italian electricity market. Our findings show that models based purely on prices give a better and more accurate explanation of risk contagion than models with exogenous regressors, revealing that the Central North and Central South zones are the most influential in terms of hub centrality for intraday and inter-day risk transmission, respectively, in the Italian energy market.