Let $(X,Y)$ be a bivariate random variable with a Gaussian distribution on $\mathbb{R}^2$, mean zero and variance-covariance matrix:
$$C=\begin{pmatrix} 0.42 & -0.42\\-0.42 & 0.42\end{pmatrix}$$
Find the expected value $\mathbb{E}[|XY|]$.
Not sure how to go about this question. I know that $\mathbb{E}(XY)=\mathbb{E}(X)\mathbb{E}(Y)$ and we can find $Var(X) \ and \ Var(Y)$ from the covariance matrix, as $Cov(X,X) = Var(X) = c_{1,1} = 0.42$. However unsure on a formula to bring everything together?