HI,
I was also have the problem after I switched to Windows Phone 8. I like Nokia phones but I am feeling the problems with switching due to them not working nice together. I have been able to get my Yahoo calendar and other calendar to show up in my Windows Phone 8.
Here is the work around.
1. Go into your Yahoo account on a desktop and share your calendar. I gave view and edit permissions on the share. This will give you 2 URLs the Web and Ical URL. Email the info to your Microsoft account.
2. Now login to your Microsoft account open your calendar and import a calendar.
3. Under import Calendar on the right column you will see Import and Subscribe. Select Subscribe
4. NOw on the right you past the Ical URL .. Give the Calendar a name (I picked Yahoo then my name) This is the name that will show up on the phone.
You can pick the color and charm. This will only show up on the desktop version of calendar.
5. when down click subscribe.
6. Now back to your phone go under Settings, Email & account
7. Sync your microsoft account.
8. Go under calendar on your phone and bottom right click "..." Settings.
9. You should see the name you gave the yahoo calendar under Microsoft. Make sure it is ON and pick a color.
Now you can have your yahoo calendar.
This worked for me and I hope it works for you.
The only issue I am currently having is the Yahoo mail only syncs every 15 minutes unless I do it manually. If you dev you can create a app/service to check for you that runs in the background.