Steps for Preparing and Baking Homemade Cozonac:

• Begin by preparing the sponge. Dissolve the dry yeast in 80 ml of warm milk (about 1/3 cup), add a tablespoon of sugar and two tablespoons of flour taken from the total. Mix well and let rest for 10–15 minutes, until the mixture is swollen and frothy.

• In a large bowl put the flour, the sugar, the salt and the grated lemon and orange zests. Add the sponge and the egg yolks, then begin to add the remaining milk little by little while kneading. Work the dough for a long time, about 20 minutes, until smooth.

  When the dough is well formed, incorporate the warm melted butter in a thin stream while continuing to knead. The dough should be soft, elastic and slightly sticky—this is a normal characteristic of this bread.
  Cover the bowl and let rise in a warm place for about 2–3 hours, until doubled in volume.

• In the meantime prepare the filling. In a bowl mix the finely chopped walnuts with the sugar and the cocoa, then add the warm milk little by little, the egg white and, if desired, the rum or rum flavoring. Mix until you obtain a creamy, spreadable mixture, not liquid. If using sultanas, add them last.

• When the dough has risen, transfer it to a lightly floured surface and divide it into two equal parts. Roll each part into a rectangle about 37 x 21 cm (about 14 1/2 x 8 1/4 inches).

  

• Spread the filling evenly, leaving about a couple of centimeters free around the edges (about 3/4 inch).

  

• Roll up from the long side to form two logs.

  

• Place the two logs in a cross to form an X. Starting from the center, braid by bringing one log over the other, alternating until you reach the ends. Repeat the operation from the other side as well, always starting from the center toward the outside, to obtain an even braid.

  

• Once braided, seal the ends well.

  

• Place the loaf in a well-buttered 30 cm loaf pan (about 12 inches).

  

• Cover with plastic wrap and let rise for 40 minutes; the loaf should be risen but remain about 1–2 cm below the rim of the pan (about 1/2 inch).

  Once risen, brush the surface with the egg yolk mixed with the milk, if you like sprinkle with sugar pearls and bake in a static (conventional) oven preheated to 170 °C (338 °F) for about 45 minutes. If the surface darkens too much, cover with aluminum foil during baking.
  Once baked, leave the cozonac in the pan for about 10 minutes. After this time, carefully unmold and transfer to a rack to cool completely. This step is important to prevent moisture from getting trapped in the pan and to keep the texture dry and soft.

  Once cooled you can place it back in the tin if desired.

• Once completely cooled, serve your Homemade Cozonac in slices. It stays soft for several days if wrapped in plastic wrap, preserving its aroma and softness.