$ \left( \begin{array}{c} X_1 \\ X_2 \end{array} \right) \sim N\left( \left( \begin{array}{c} 0 \\ 0 \end{array} \right) , \left( \begin{array}{cc} 1 & r \\ r & 1 \end{array} \right) \right) $
How do you to calculate Cov$(X_1^2,X_2^2)$?
I know Cov$(X_1^2,X_2^2)=E(X_1^2X_2^2)-E(X_1^2)E(X_2^2)$ and I could calculate $E(X_1^2)$ and $E(X_2^2)$. However, I got stuck at the $E(X_1^2X_2^2)$.
Any thought on how to do that part? Thanks!