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Many air journeys involve changing between flights in order to get to the final destination. Sometimes they involve making a connection between two or more flights on the same airline; sometimes there may be more than one airline involved in providing the transportation. If disruption to one flight causes you to miss your connection, your rights are different depending on whether:
If your flights are all on the same ticket and a flight disruption causes you to miss a connection, you should be entitled, under the contract, to a later flight or to a refund. (But beware the refund option; you may get back less than you expect because of the way refunds for part-completed journeys are calculated.)
Most airlines also provide meals or overnight accommodation if required, in line with industry guidelines, but they are not legally obliged to do. When they do not, it is arguable that they should reimburse any reasonable personal expenses in line with the Montreal Convention, but you may have to argue the case in court.
If you put together your own connections using separate reservations, these are separate contracts and you will be on your own if things go wrong. Some airlines advise of the dangers on their websites. If you make up your own connections (sometimes it will be by far the most convenient and cheapest option), consider building in extra time to allow for delay, if possible.
For information on delayed and cancelled flights, see our 'Delay in terms of EU Regulations', 'Cancellation in terms of EU Regulations' and 'Cancellation and delay outside the application of EU law' sections.