Please, can anybody give a reference(s) to some good recent review papers about copulas and time series?
I would suggest to look at the following surveys (both available online): H. Manner and O. Reznikova. "A survey on timevarying copulas: Specification, simulations and estimation. Econometric Reviews, forthcoming. A. Patton. "CopulaBased Models for Financial Time Series", 2009, in T.G. Andersen, R.A. Davis, J.P. Kreiss and T. Mikosch (eds.) Handbook of Financial Time Series, Springer Verlag. Regards 


Here what I found in my elibrary the follwing articles (that you can find on arxiv or SSRN) : Brahimi, Necir  A Semiparametric Estimation of Copula Models Based on the Method of Moments Chicheportiche, Bouchaud  GoodnessofFit tests with Dependent Observations Amblard, Girard  Estimation Procedures for a Semiparametric Family of Bivariate Copulas Bergsma  Nonparametric Testing of Conditional Independence by Means of the Partial Copula Segers  Asymptotics of Empirical Copula Processes under Nonrestrictive Smoothness Assumptions Segers  Weak Convergence of Empirical Copula Processes under Nonrestrictive Smoothness Assumptions Otherwise you can check the book by Nelsen "An introduction to copulas" Regards 

