We consider varying coefficient Cox models with high-dimensional covariates. We apply the group Lasso to these models and propose a variable selection procedure. Our procedure can cope with simultaneous variable selection and structure identification from a high dimensional varying coefficient model to a semivarying coefficient model. We also derive an oracle inequality and closely examine restrictive eigenvalue conditions. In this paper, we give the details for Cox models with time-varying coefficients. The theoretical results on variable selection can be easily extended to some other important models and we briefly mention those models since those models can be treated in the same way. The models considered in this paper are the most popular models among structured nonparametric regression models. The results of numerical studies are also reported. This is joint work with Ryota Yabe.