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.