Step 1

Preheat the oven to 350 degrees F. Spread the pecans on a baking sheet and bake until lightly toasted, about 8 minutes; set aside.

Step 2

Melt 1 stick butter in a medium saucepan over medium heat. Add the brown sugar and heavy cream; boil until slightly thickened, about 4 minutes. Stir in the vanilla, vinegar, rum, salt and the toasted pecans. Pour all but 1/2 cup of the pecan mixture into an 8-inch-round, 3-inch-deep cake pan. Refrigerate until almost set, about 15 minutes. Set the remaining pecan mixture aside at room temperature.

Step 3

Put the remaining 1/2 stick butter in a microwave-safe bowl; microwave until melted. Put the granulated sugar in another bowl. Pinch off tablespoonfuls of dough and roll into 1-inch balls. Dip the balls in the melted butter, letting the excess drip off, then roll in the granulated sugar; arrange in the prepared cake pan in 2 layers, leaving a bit of space between the balls. Let rise, uncovered, in a warm place until doubled in size, about 1 hour, 30 minutes.

Step 4

Preheat the oven to 350 degrees F. Bake the bread until puffed and golden brown (a thermometer inserted into the center should register 175 degrees F), about 55 minutes; tent with aluminum foil if the top is getting too dark. Remove the bread from the oven and spread the reserved 1/2 cup pecan mixture on top. Transfer to a rack and let cool 10 minutes in the pan, then invert onto a plate. Pull off pieces to serve.

Step 5

Warm 1/2 cup water and the milk in a saucepan over low heat until a thermometer registers 100 degrees F to 110 degrees F. Remove from the heat and sprinkle the yeast on top, then sprinkle with a pinch of the sugar; set aside, undisturbed, until foamy, about 5 minutes.

Step 6

Whisk the melted butter, egg yolk and vanilla into the yeast mixture until combined. In a large bowl, whisk the flour, the remaining sugar, the salt and nutmeg. Make a well in the center, then add the yeast mixture and stir with a wooden spoon to make a thick and slightly sticky dough. Turn out onto a floured surface and knead until soft and elastic, about 6 minutes. Shape into a ball.

Step 7

Brush a large bowl with butter. Add the dough, turning to coat lightly with the butter. Cover with plastic wrap and let rise at room temperature until the dough is doubled in size, about 1 hour, 15 minutes.

Step 8

Turn the dough out of the bowl and knead briefly to release excess air; re-form into a ball and return to the bowl. Lightly butter a large piece of plastic wrap and lay it directly on the surface of the dough. Cover the bowl tightly with plastic wrap and refrigerate at least 4 hours or overnight.