In this paper, we derive an exact finite power series expression of the nth-order moment of a complex filtered phase noise random variable. This random variable is usually encountered in the error probability analysis of coherent heterodyne optical receivers. The result is then used to derive an infinite power series expression for the moment generating function of the same random variable. The two expressions represent a novel full statistical characterization of filtered phase noise. They also constitute an important step toward deriving optimal heterodyne receiver designs in the presence of phase noise. In a previous work Banat (J. Opt. Commun., vol. 5, 267-271, Dec. 2004), the author presented an approximate finite power series moment expression for filtered laser phase noise. The new results will be compared to those of Banat (J. Opt. Commun., vol. 5, 267-271, Dec. 2004)