In short : IT WORKS !!! 
long story below, in case the steps by steps can be useful to another Yahoo user (sorry for my pidgin English…)
Don’t be afraid ! It will look long and complicated, but when you actually do it, it is very very simple: I have simply detailed each and every steps (surely too much…)
This step-by-step is for any one using a two-step verification for your Yahoo Account security.

Your Yahoo Account Security shows your current status. It indicates in my case that the 2-step is activated: you will need then to generate a special password that ONLY DAVdroid will be allowed to use.

When you click on “Generate app password”, a pop will ask you to select your app.
Go at the bottom and choose “Other app”

… then type a name. For easily remembering, I simply type “DAVdroid” (but it is up to you, it does not matter as it is only for your eyes).
When done, click on “Generate”

A password is generated by the system. Here, it is “aaaa bbbb cccc dddd”.
Beware, you can have spaces like in the example below (I had). Password must be used with the spaces, exactly as displayed.
Click on “Done”

My DAVdroid special privilege in Yahoo is with status : “Not used yet” …
You have instructed Yahoo to keep an eye on ANYTHING that will log in, using this password, and as soon as this login is detected, it will be attached to the application registered with name DAVdroid.
We have finished for now with Yahoo

Let’s go to the smartphone, install the app if not done yet, and run it for the 1st time.
Click the big “+” bottom right.

There are 3 options. Choose the classic one : “Login with email address”.
Click on “LOGIN” bottom right.

Now type your yahoo email address, the one in which you have your calendar. Here, MyDog@yahoo.com
… AND TYPE THE PASSWORD YOU GENERATED, NOT YOUR REGULAR YAHOO PASSWORD. (aaaa bbbb cccc dddd in my example)
Click on “LOGIN” bottom right.

Retype your yahoo email adress, and click on “CREATE ACCOUNT”

DAVdroid creates the account, and checks if your configuration can be an issue to the background synchronizations.
I have a Huawei (P20 lite), and it seems some brand can be capricious. Fortunately, the warning were just warnings in my case, and nothing was blocked in the background.
But I had, by instance, to authorise my “battery saving mode” to be disabled for this application (there is a message asking the authorization to do so).

ET VOILA !!! DAVdroid has created my account, and after selecting this account…

… I see that it is all set, I can select and activate MyDog’s Calendar , and start the synchronization !!!

Back in my Yahoo Account in my PC, I refresh the page and receive the confirmation that the special login (with the generated password) is now linked to my app, and Yahoo has it in its records.

Now the final test : I create an event in my PC, and another one in my Android smartphone.
It works in my PC and inside Yahoo : event created at 14h from my smartphone has been correctly transmitted by DAVdroid to Yahoo Calendar…

… and idem in my smartphone : my calendar has received the event created at 12h in my Yahoo Calendar, in my PC

Is not it great ? 