If $(X_1,X_2)$ form a bivariate normal distribution such that $X_1$ and $X_2$ are marginally Standard normal but $\text{Cov}(X_1,X_2)$ is $c$. Then find the correlation between ${X_1}^2$ and ${X_2}^2$
We can find $E(X_1 X_2)$ as covariance is given. But to find Covariance of ${x_1}^2$ and ${x_2}^2$ we need to find $E\left({(X_1 X_2)}^2\right)$ which I found difficult to find. I tried to manually find the distribution of $X_1X_2$ and do it but it is computationally very difficult. Please help