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We consider the variant of the minimum vertex cover problem in which we require that the cover induces a connected subgraph. We give new approximation results for this problem in dense graphs, in which either the minimum or the average degree is linear. In particular, we prove tight parameterized upper bounds on the approximation returned by Savage's algorithm, and extend a vertex cover algorithm from Karpinski and Zelikovsky to the connected case. The new algorithm approximates the minimum connected vertex cover problem within a factor strictly less than 2 on all dense graphs. All these results are shown to be tight. Finally, we introduce the price of connectivityfor the vertex cover problem, defined as the worst-case ratio between the sizes of a minimum connected vertex cover and a minimum vertex cover. We prove that the price of connectivity is bounded by 2/(1 + 茂戮驴) in graphs with average degree 茂戮驴n, and give a family of near-tight examples.