A single strand of hair provided compelling evidence that an Australian convert to Islam was a member of the terrorist group Al Qaeda in the Arabian Peninsula (AQAP), and that he was involved in hostage-taking in Yemen two years ago.

As the ABC's 7.30 program revealed in June last year, the AFP suspected Christopher Havard of helping to guard three European hostages after they had been kidnapped at gunpoint in the capital, Sana'a, in December 2012.

Havard was killed in November 2013 by a missile fired from an American Predator drone as he drove with four other members of AQAP through the desert of eastern Yemen.

The three hostages were Austrian citizen Dominik Neubauer and Finnish couple Atte and Leila Kaleva.

The Kalevas have given very few interviews since they were freed in May 2013, reportedly after a multi-million dollar ransom was paid to AQAP.

They have never before spoken to the Australian media.

Atte and Leila Kaleva kept a strand of hair belonging to Christopher Harvard hidden for months. ( ABC News )

Now the Kalevas have told the ABC how their evidence led to a warrant being issued by a Queensland magistrate for Havard's arrest, just three weeks before his death in Yemen.

"We didn't really know if we were going to be killed or not, so it's a very uncertain situation," Leila Kaleva said.

Her husband Atte added: "For the most part, nothing happens, you are just lying there.

"So if you are not careful your mind can go into all kinds of circles about the worst-case scenarios.

"But there's no use going over and over the fact that you might be killed, so it's much more productive that you go over and over the reasons why you might not be killed."

Do you know more about this story? Email 7.30syd@your.abc.net.au

Military training helped hostages survive

Atte and Leila Kaleva recognised one of their Al Qaeda captors had an Australian or New Zealand accent. ( ABC News )

Mr Kaleva was a captain in the Finnish army who had gone to Yemen to improve his Arabic and to study Islamic extremist groups.

Mrs Kaleva went to Yemen in late December 2012 to spend the Christmas holiday with her husband.

Less than a day after her arrival, they were kidnapped at gunpoint along with Mr Neubauer in an electronics shop in central Sana'a.

Their kidnappers were thugs, they told the ABC, who soon sold them on to a group they assumed was AQAP.

They were held for four months while their captors negotiated their ransom.

While they waited, they carefully observed their captors.

One, they soon realised, came from a long way away.

"There was one person who was speaking English with a New Zealand or Australian accent so it was very evident that he was not an Arab guy," Mrs Kaleva said.

And even though the guards usually kept their faces covered, Mr Kaleva noticed the man with the antipodean accent had chestnut hair.

One day that particular guard offered them a book to read, and between its pages they found a single hair.

Carefully they hid it away, and took it with them when they were released.

"We gave half to the Austrians and half to the Finnish authorities," Mr Kaleva said with a smile.

"But I should have known that the DNA is stuck in the part of the hair that is attached to your scalp.

"So the Austrians got the one with the DNA and the Finns got the one with zero DNA."

But it was enough.

'I felt sad that he was dead'

On the strength of the Kalevas' impression that the owner of the hair was an Australian or a New Zealander, the DNA profile that the Austrians extracted from the hair root was sent to the AFP, who matched it to a DNA sample they already had of Christopher Rosser Havard.

This part of the story is confirmed by heavily redacted documents released by the AFP following freedom of information requests last year.

AFP investigators later interviewed the Kalevas and Mr Neubauer, and, according to one document, secured the hair samples to do their own analysis.

The AFP's identification of Havard was confirmed on 27 September, 2013.

A month later, the arrest warrant was issued, stating that he was suspected of "an act of hostage-taking contrary to section 8 of the Crimes (Hostages) Act 1989".

But three weeks later, Havard was dead.

Havard grew up in Townsville, where he converted to Islam in 2008 at the age of 22. In February 2012, he told his parents he was going to Yemen to teach English.

Mr Kaleva told the ABC that he "felt sad that he was dead".

"I don't believe in the capital punishment," he said.

"I think he was a criminal, he was participating in a very serious crime.

"But I would have liked to see him put to justice in a courtroom and then tried and then probably found guilty and then he would have served some time in jail.

"That's my idea of justice, not this indiscriminate punishment of killing people."