1-Begin by preparing the sponge: mix 150 g flour with 150 ml lukewarm milk and 7 g dry yeast, then let it rise in a warm place at 50°C for 15-20 minutes until bubbly.

2-In a mixer, combine the sponge with the remaining dough ingredients: 600 g flour, 250 ml milk, 150 g sugar, 3 whole eggs plus 2 egg yolks, zest of 1 lemon and 1 orange, 1 teaspoon vanilla bean paste or extract, 1 tablespoon rum essence, and 1 teaspoon salt. Mix on low speed for 10 minutes.

3-Gradually add 200 g softened butter over 20 minutes of continuous mixing to develop the gluten, creating a smooth dough.

4-Proof the dough in a warm place at 50°C for three rounds of 20 minutes each, performing 3-4 stretch and folds between rounds to strengthen the structure. Let it rest finally at room temperature.

5-Prepare the filling by pulsing 200 g walnuts, 100 g sugar, 50 g cocoa powder, 1 teaspoon cinnamon, and a pinch of salt in a food processor until fine, then add 50 ml milk, 30 ml rum, 50 g butter, and 1 egg white to make a smooth paste.

6-Divide the dough into two equal parts, cut each into 2 or 3 strips, roll out each strip, spread the filling thinly, roll into logs, twist or braid them, and place into greased and floured loaf pans.

7-Final proof the shaped dough in a warm oven at 50°C for 30-40 minutes until it becomes puffed and airy.

8-Preheat the oven to 175°C, brush the loaves with 1 beaten egg, and bake for 15 minutes. Cover with foil and reduce the temperature to 150-160°C, baking for another 30 minutes.

9-Cool the Cozonac for 15-20 minutes before slicing to allow the flavors to set.