METHOD
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make the yeast mixture
Add lukewarm milk, yeast, and sugar to a bowl. Stir and set aside for 10 minutes.
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dough
Add flour, egg yolk, egg, rum (optional), salt, yeast mixture, and lemon zest to a stand mixer bowl. If you don't have a stand mixer, use an electric mixer with dough hooks. Knead on medium speed for 6 - 8 minutes or until the dough is elastic and smooth. Add the butter and knead for 3 - 4 minutes until it incorporates and the dough separates from the bowl's walls.
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first proofing
Cover the bowl with the dough with clingfilm and leave to proof at room temperature (22 - 25 °C / 72 - 77 °F ) for about 1 hour or until it visibly rises. Then, place the dough in a fridge for 30 minutes for easier shaping.
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walnut filling
Add egg whites and sugar to a bowl. Using an electric mixer, beat until stiff peaks form. Add the remaining filling ingredients (ground walnuts, honey, cinnamon, rum, whipping cream, melted (cooled) butter). Mix to combine.
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make the walnut rolls
Line two large baking sheets with parchment paper. Divide the dough into two parts. Knead each piece of dough into a rectangle approx. 30 cm x 40 cm (12-inch x 16-inch). Spread half of the walnut filling over one piece of dough. Leave about 3 cm (1-inch) edge on top. Roll into a long log. Repeat the process with the remaining ingredients. Cut the log into 5 cm (2-inch) rolls and place them on the prepared baking sheet. Leave some space between them to prove. Cover the walnut rolls with a kitchen towel and leave to proof at room temperature for 50 - 60 minutes.
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bake
Set a rack in the middle of the oven and preheat it to 190 °C / 375 °F. Brush the walnut rolls with milk. Prick them a couple of times on top. Place in the oven and bake for 20 - 25 minutes at 190 °C / 375 °F or until they are golden brown on top. Leave to cool, then serve.