Warm the milk until it reaches 105-120°F (43°C). Combine with melted butter, egg yolks, sugar, and yeast in a bowl, allowing to bloom for 5 minutes.

Gradually mix in the flour and citrus zest, kneading the dough until smooth and elastic, about 8-10 minutes.

Shape the dough into a ball and let it rise in an oiled bowl for 1.5 to 2 hours until doubled in size.

Soak raisins in vanilla or rum for 15 minutes. Mix together ground walnuts, cocoa powder, and powdered sugar for the filling.

Punch down the dough, divide into two pieces, roll into rectangles, spread the filling, sprinkle with raisins, and roll tightly.

Twist the rolled dough logs together and place them in loaf pans; let rise for another hour until doubled.

Preheat oven to 350°F (175°C). Brush loaves with egg white, sprinkle with sugar, and bake for 40-60 minutes until golden brown.

Let the loaves cool in the pans for 10 minutes, then transfer to wire racks to cool completely before slicing.