I have a wordpress website, which when I visit
it throws an error 404 page.
Which class in wordpress handles the request dispatching?
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404 errors are handled browser site and has nothing to do with Wordpress. When nothing is returned from the request, the browser triggers a 404 action and displays a 404 not found error page
By default, if no custom 404 page exists on the site, the browser will display its own default 404 page.
For further reading, check out: Creating an Error 404 page