How do I write the square of covariance? Should it be $\mathrm{cov}^{2}(X,Y)$ or should it be $\mathrm{cov}(X,Y)^2$ or $(\mathrm{cov}(X,Y))^2$ or something completely different?
Thank you.

First note that
$$\mathrm{cov}^2\left(X, Y\right)=\left(\mathrm{cov}\left(X, Y\right)\right)^2$$
Since the exponent is not equal to $-1$ then your okay with writing
$$\mathrm{cov}^2\left(X, Y\right)$$
However, if the exponent was $-1$ then I'd recommend the following
$$\left(\mathrm{cov}\left(X, Y\right)\right)^{-1}$$
This avoids any ambiguity between the inverse of $\mathrm{cov}$ and the multiplicative inverse of $\mathrm{cov}$.
