The contribution of this research to give readers in the first time a clear understanding of the analysis of the economic impact of COVID-19 on three countries, mainly, the United States, China and Italy .Also this paper investigates the contagious epidemic in a multivariate time-varying asymmetric framework, focusing on these countries (USA ,China and Italy) during the epidemic corona virus. Methods: Specifically, both a multivariate Gaussian copula model and the dynamic conditional correlation (DCC) approach are used to capture china, USA, Italy non-linear correlation dynamics during the period January 22, 2020–March 23, 2020. The empirical evidence confirms the spread of the epidemic from one country to all others. Results: The results also suggest that China is more prone to epidemic contagion while the numbers of deaths has a larger impact than country-specific epidemic corona virus.