We implement a direct detection scheme based on hybrid photodetectors to experimentally investigate high-order correlations for detected photons by means of quantities that can be experimentally accessed. We show their usefulness in fully characterizing a multimode twin-beam state in comparison with classical states and, in particular, we introduce a nonclassicality criterion based on a simple linear combination of high-order correlation functions. Our scheme is self-consistent, allowing the estimation of all the involved parameters (quantum efficiency, number of modes and average energy) directly from the same experimental data. Results are in very good agreement with theory, thus suggesting the exploitation of our scheme for reliable state characterization in quantum technology.