Cut butter into flour in a large mixing bowl with your fingertips. Add sour cream and egg yolk; mix thoroughly until a firm dough is formed. Shape dough into a large ball, cover with waxed paper or plastic wrap, and refrigerate until fully chilled, at least 2 hours.
Preheat the oven to 375 degrees F (190 degrees C). Line 2 baking sheets with parchment paper.
Combine sugar, walnuts, and cinnamon in a small bowl.
Remove dough from the refrigerator and cut into 3 equal pieces. Roll 1 piece of dough into a circle. Sprinkle with 1/3 of the sugar mixture and press it into the dough. Cut into 12 wedges (like a pie) and roll each piece from the wide side to the tip to make a croissant-shaped cookie; place on the prepared baking sheets. Curl the tips of each cookie towards you to form a curved horn shape. Repeat with remaining dough and sugar mixture to form remaining cookies.
Bake in batches in the preheated oven until golden brown, 20 to 25 minutes. Cool on the baking sheet for 1 minute before removing to a wire rack to cool completely.