Step 1

In a small saucepan over medium heat, whisk together the milk and sugar.

Step 2

Add the butter and stir until butter is almost melted. Remove from heat and set aside.

Step 3

In a large mixing bowl of stand mixture, with the paddle attachment, combine about 1½ cups of flour with the yeast.

Step 4

Add the milk mixture and combine on low speed for 2-3 minutes. Note: liquid ingredients should be lukewarm

Step 5

Allow the mixture to rest for a few minutes.

Step 6

In the meanwhile, grate the orange and lemon zest and set aside.

Step 7

With the mixer on low speed, add the eggs. Scrape down bowl and mix for about 1-2 minutes.

Step 8

Add the vanilla extract, rum and salt.

Step 9

Switch to dough hook.

Step 10

Add the rest of the flour and knead for a few minutes.

Step 11

Add the citrus zests and continue to knead for about 6-8 minutes or until dough is smooth and elastic. NOTE: If you find that the dough is still sticky, add a few more tablespoons of flour.

Step 12

Place the dough in a lightly greased bowl (with butter). Make sure to turn the dough over in order to completely coat the dough with the grease.

Step 13

Cover with plastic wrap.

Step 14

Allow to rise for about 2 hours or until double in size.

Step 15

In the meanwhile, prepare the filling.

Step 16

Over medium heat, in a small sauce pan, whisk together the milk and sugar.

Step 17

Add the almonds and stir until a paste-like consistency is reached. This should take about 15 minutes. Stir often.

Step 18

Add the rest of the ingredients and continue to stir until a paste like consistency is achieved.

Step 19

Set aside to cool.

Step 20

Preheat oven to 350° F. Place oven grate to bottom third. Line 2 (9 x 5 inch) loaf pans with parchment paper.

Step 21

Punch down the dough and divide into four equal parts.

Step 22

On a lightly floured wooden board, roll out each section into a large rectangle (about 11 x and spread out the nut mixture to within 1/2 inch from the ends.

Step 23

Starting from the long end, roll the dough to form a log. Repeat with the rest of the dough and filling. Pinch the ends and the seams together.

Step 24

Twist two pieces of log together and place in prepared loaf pan.

Step 25

Brush the tops with a beaten egg and allow to double in size. This can take 45- 60 minutes.

Step 26

Sprinkle a little sugar over the top and bake for about 45 minutes. Feel free to place a piece of aluminum foil loosely over the tops to prevent over browning.

Step 27

Allow to cool completely before slicing into them.