Explicit expressions for joint moments of $n$-dimensional elliptical distributions

Inspired by Stein’s lemma, we derive two expressions for the joint moments of elliptical distributions. We use two different methods to derive $E[X_1^{2}f(\mathbf{X})]$ for any measurable function $f$ satisfying some regularity conditions. Then, by applying this result, we obtain new formulae for expectations of product of normally distributed random variables, and also present simplified expressions of $E[X_1^{2}f(\mathbf{X})]$ for multivariate Student-$t$, logistic and Laplace distributions.