Copulas [elliptical (Gaussian and t), Archimedean, E.Value etc]. PDF, CDF, RN generation, plots. Several methods for fitting/estimation. Independence and serial independence tests, Goodness-of-fit. Nested Archimedean Copulas also for high dimensions
Note the package vignette a version of which was published on JSS:
Marius Hofert and Martin Maechler (2011)
Nested Archimedean Copulas Meet R: The nacopula Package, Journal of Statistical Software 39, issue 9.
The project summary page you can find here.
Typically you install the package from CRAN, where you also find the manuals, vignettes, etc