How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study

•This paper replicates the Diebold and Yilmaz, DY, (2012) study on financial markets connectedness.•The markets are the commodity and the stock, bond, FX for the US.•Similar to DY, we use use the Generalized Forecast Error Variance Decomposition, GEFVD.•We compare normalization schemes to GEVD.•We show that a scalar-based normalization is preferable to the row normalization suggested by DY.