If this is any interest to you, you can by the live tape of Live At The Roxy here (plus some other videos I think): http://www.blackstar.co.uk/video/item/7000000018586
Well, they say they will *try* to track it down for you as they don't have it in stock and cannot order it from any distributors. No guarantees though. A bit like Amazon's service to track down out of print books.
They said that Live At The Roxy was Yello's only live, hehe. As far as I know Yello did live performances at MayDay and at "The Palladium", didn't they? :-)
Be fair.... they're just quoting what is written on the video box. Back then, it *was* their only live performance! And it's probably still the biggest show they did on their own. Incidentally, that video is actually half Live performances and half video clips. Michael