There are a few countries that claim to be the birthplace of walnut soup, and countless variations and recipes. This particular version is Turkish, and it's one of my favorite autumn soups to make. I've specified vegetable stock in the recipe, although it's worth noting that I've used chicken stock in the past.
Roast the walnuts in a dry frying pan over medium heat, stirring frequently, until golden brown and fragrant. Remove the pan from the heat, and pour walnuts onto a cutting board to cool slightly; coarsely chop the nuts.
Heat the olive oil in a saucepan over medium heat. Stir in the shallots and garlic; cook and stir until the shallots have softened and turned translucent, about 3 minutes. Add the chopped walnuts, orange zest, orange juice, and cinnamon, and boil for 1 minute.
Puree the mixture in a blender or food processor with 1 cup of vegetable stock. Return the soup to the saucepan and pour in the remaining 3 cups of vegetable stock.
Bring to a boil; reduce the heat and simmer for 4 to 5 minutes. Remove from heat; stir in the yogurt, and season with salt and black pepper to taste. Garnish with chopped cilantro.