Step 1

Start with making the dough. First, add the salt and the egg yolks to a large bowl, then whisk until blended. Then, to a small bowl, add a tablespoon of sugar, the yeast, and a small amount of milk, then stir. Set aside and let the yeast activate.

Step 2

Add flour to a large bowl, make a well in the middle, then pour the yeast mixture into the well. Now, add the sugar, the lemon and the orange peel, the egg yolks, and the vanilla extract. Lastly, pour ¾ of the milk into the bowl — you will add the rest if needed. Mix and knead until you have a smooth dough, adding more milk if necessary.

Step 3

Knead the lard into the dough. Combine the melted butter and oil, then pour the mixture gradually into the bowl with the dough, and knead it into the dough as you pour.

Step 4

Knead the dough for 1 hour at least. Then, fold the dough in half and slam it against the table or the working surface — do this “fold and slap” 20 times.

Step 5

Place the dough into the bowl, and cover the bowl with cling film. Place the bowl with the dough in a warm spot and leave it to rise. After 30 minutes, knead the dough for 5 minutes. Cover the bowl again with cling film again and place it in a warm spot and leave the dough to rise.

Step 6

To make the filling, add all the ingredients for the filling to a large bowl and mix to combine.

Step 7

Transfer the dough onto a working surface and divide the dough into four same-sized pieces.

Step 8

Take one piece of dough and spread it with your hands into a 40x30cm (17.5x11.8-inch) rectangle. Spread the filling evenly over the dough, but keep a 2cm (1-inch) outer edge on the longer side of the rectangle uncovered. Starting from the side opposite the uncovered edge of the dough, roll tightly into a tube. Pinch the ends as you roll to close them, so the filling doesn’t come out. Do the same with the three remaining pieces of dough.

Step 9

Take two rolls and braid them into a braided loaf — you should end up with two braided loaves.

Step 10

Line two loaf pans with baking paper, then place a braided loaf into each. Place the pans in a warm spot and leave them there for 30 minutes so the dough can rise.

Step 11

Mix the egg and the milk to make a glaze. Brush the loaves with the egg glaze.

Step 12

Bake the loaves in a 160°C/320°F oven for 10 minutes, then up the oven temperature to 170°C/340°F for approximately 50-60 minutes. To check the doneness, insert a toothpick into each loaf. If it comes out clean, it’s done. If it comes out with pieces of dough stuck to it, it needs to bake more — about 15 minutes.

Step 13

When baked, take the loves out of the oven and leave them to cool for 10 minutes while still in pans. Then, take them out of the pans, place them on the side and let cool for 10 minutes. After 10 minutes have passed, turn the loaves three more times, each time on a different side, letting it cool for 10 minutes on each side.