Several systems can be represented as multiplex networks, i.e. in terms of a superposition of various graphs, each related to a different mode of connection between nodes. Hence, the definition of proper mathematical quantities aiming at capturing the added level of complexity of those systems is required. Various steps in this direction have been made. In the simplest case, dependencies between layers are measured via correlation-based metrics, a procedure that we show to be equivalent to the use of completely homogeneous benchmarks specifying only global constraints. However, this approach does not take into account the heterogeneity in the degree and strength distributions, which is instead a fundamental feature of real-world multiplexes. In this work, we compare the observed dependencies between layers with the expected values obtained from maximum-entropy reference models that appropriately control for the observed heterogeneity in the degree and strength distributions. This information-theoretic approach results in the introduction of novel and improved multiplexity measures that we test on different datasets, i.e. the International Trade Network and the European Airport Network. Our findings confirm that the use of homogeneous benchmarks can lead to misleading results, and highlight the important role played by the distribution of hubs across layers.