Yandex Browser now restricts the transmission of your cookies to third-party trackers by default. This means that sites that you have not visited will not be able to receive and use your data to their advantage, including for annoying calls or spam.
For Yandex, in particular for Yandex Browser, the security of user data is a priority. The Protect technology built into Yandex browser has been protecting users from dangerous sites, files, interception of passwords and bank card data for several years.
This has now been rolled out to the full browser (normal and incognito).