Yeast frataxin is a protein exhibiting cold denaturation at an exceptionally high temperature (280 K). We show that the microscopic mechanism of cold denaturation, which has recently been suggested by us [Yoshidome and Kinoshita, Phys. Rev. E 79, 030905(R) (2009)], is also applicable to yeast frataxin. The hybrid of the angle-dependent integral equation theory combined with the multipolar water model and the morphometric approach is employed for calculating hydration thermodynamic quantities of the protein with a prescribed structure. In order to investigate the characteristics of the cold-denatured structures of yeast frataxin, we consider the entropy change upon denaturation comprising the loss of the water entropy and the gain in the protein conformational entropy. The minimum and maximum values of the conformational-entropy gain (i.e., the range within which the exact value lies) are estimated via two routes. The range of the water-entropy loss is then determined from the entropy change experimentally obtained [Pastore et al., J. Am. Chem. Soc. 129, 5374 (2007)]. We calculate the water-entropy loss upon the transition from the native structure to a variety of unfolded structures. We then select the unfolded structures for which the water-entropy loss falls within the determined range. The selection is performed at cold and heat denaturation temperatures of yeast frataxin. The structures characterizing cold and heat denaturations are thus obtained. It is found that the average values of the radius of gyration, excluded volume, and water-accessible surface area for the cold-denatured structures are almost the same as those for the heat-denatured ones. We theoretically estimate the cold denaturation temperature of yeast frataxin from the experimental data for the enthalpy, entropy, and heat-capacity changes upon denaturation. The finding is that the temperature is considerably higher than 273 K. These results are in qualitatively good accord with the experimental observations.