For folks coming to this thread more recently. There are more than one package named Copulas.jl referenced here. However, the one registered with the General Registry seems to not be mentioned: GitHub - lrnv/Copulas.jl: A fully `Distributions.jl`-complient copula package
In my investigations today, that package seems to be the most Julian and with a path to being the first choice, if its not already.
There’s another announcement thread here: [ANN] Copulas.jl : A fully `Distributions.jl`-complient copula package