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This paper presents an analytical characterization of the ergodic capacity of amplify-and-forward (AF) MIMO dual-hop relay channels, assuming that the channel state information is available at the destination terminal only. In contrast to prior results, our expressions apply for arbitrary numbers of antennas and arbitrary relay configurations. We derive an expression for the exact ergodic capacity, simplified closed-form expressions for the high SNR regime, and tight closed-form upper and lower bounds. These results are made possible by employing recent tools from finite-dimensional random matrix theory, which are used to derive new closed-form expressions for various statistical properties of the equivalent AF MIMO dual-hop relay channel, such as the distribution of an unordered eigenvalue and certain random determinant properties. Based on the analytical capacity expressions, we investigate the impact of the system and channel characteristics, such as the antenna configuration and the relay power gain. We also demonstrate a number of interesting relationships between the dual-hop AF MIMO relay channel and conventional point-to-point MIMO channels in various asymptotic regimes.