Pour a pinch of salt over the yolks and mix them. Separately add over the yeast 2-3 spoons of sugar and some warm milk and mix them.
In a large bowl put the flour and create a hole in the middle. Pour the yeast in the middle, add 300g sugar, lemon and orange zest, the egg yolks and some vanilla. Start adding the warm milk and mix from the center all the ingredients. Add milk gradually in small amounts because it depends on the quality of the flour how much you are going to need in the end.
Separately mix the melted butter with the oil. Start kneading and add gradually the butter and oil mixture into the dough a table spoon at a time every couple of minutes. The kneading process should be done by bringing the dough from the edge to the center. This is very important and it should last at least 30 minutes.
The dough is ready when it doesn't stick to your hands or to the bowl and it is elastic. In the end fold it in half and slam the dough in the bowl 20 times. Cover the dough with plastic wrap and let it stay in a warm place for 30 minutes.
After 30 minutes, knead it again for 5 minutes, let it stay 15 minutes and knead it for the last time for 5 minutes. Let it rest for 15 minutes before spreading it.
For the filling mix the egg whites with 150g sugar, cocoa, rum essence and ground walnuts. I also choose to add some Turkish delight cut in small dices.
When the dough is ready cut it into 4 equal parts. Spread each part in a rectangle. Divide the filling into 4 and add 1 portion on top of each dough part and spread it evenly, I placed also some Turkish delight dices. On one of the edges leave a 2cm gap without filling. Start rolling the dough from the opposite edge and seal the ends. Repeat this step for all the dough parts.
Take 2 of the rolled dough pieces and braid them tight together and place them in a tray covered with baking paper. Do the same process for the other 2 pieces. Let them rest for 20-30 min before you brush them on top very well with an egg beaten with a spoon of water.
Bake them for 10 min in the preheated oven at 160 degrees. Increase the heat to 170 degrees for 50-60 min until its passing the toothpick test. After you take them out of the oven let them rest for at least 30 min before cutting them.
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