Kendall's tau is very widely used in copula theory, probably because it is a very natural thing to consider for archimedean copulas. Plots of the cumulative Kendall tau were introduced by Genest and Rivest as a way to choose a model among families of bivariate copulas. 

[Link to Genest Rivest (1993) paper][1]


  [1]: http://www.tandfonline.com/doi/abs/10.1080/01621459.1993.10476372