Unfortunately I have no actual information on this question. My experience is that wood retains its flexibility in the cold, although I can't say I've ever made a study of the issue. I'd guess sinew and horn are similarly well behaved, simply because they're very dry. Maybe a bit stiffer, but flexing the limbs a bit could well sort that out.
The thing I think most likely to be problematic is the glue. Unfortunately hide glue isn't something I have any actual experience with, so I cannot really begin to speculate.