Place the cornstarch in a small saucepan, whisk in the cold water, and set the pan over medium heat. Cook, stirring constantly, until the mixture comes to a boil. Boil for 1 to 2 minutes or until the mixture is clear. Remove from the heat and transfer to a small bowl.
Whisk in the olive oil, vinegar, yogurt, mustard, and horseradish. Store tightly covered in the refrigerator for up to 2 weeks.