Step 1
Heat 2 cups of milk in a saucepan over low heat until the milk just comes to a simmer; remove from heat and let cool. Mash the cake yeast with the warm water in a bowl and set aside.
Step 2
In a bowl whisk together the flour with 1 teaspoon of cinnamon and 1 teaspoon of nutmeg. In a separate large bowl mash the butter with 1 cup of sugar and the salt until the mixture is smooth and creamy. Beat in 2 eggs and 1 teaspoon of vanilla extract. After milk is cooled to a warm temperature stir the yeast mixture into the scalded milk and stir the milk mixture to the creamed butter mixture. Beat in 3 cups of flour until completely incorporated and beat in remaining flour 1/2 cup at a time until the mixture forms a smooth dough that's almost sticky. Dough will be very soft.
Step 3
Turn the dough out onto a well-floured work surface and knead until smooth and elastic about 8 minutes. Place the dough into an oiled bowl and turn the dough over to coat all sides with oil. Cover with a floured kitchen towel and let rise in a warm place until doubled 2 to 3 hours.
Step 4
Punch down the dough cut into 6 equal pieces and roll each piece into a ball. Cover with floured kitchen towel and set the balls into a warm place to rise until doubled 40 minutes to 1 hour.
Step 5
While dough is rising the second time make the nut filling: tear toasted bread into a few pieces and grind toast with walnuts and pecans in a food grinder or process in the work bowl of a food processor until finely chopped. Place the nuts into a bowl; mix in 1 teaspoon of vanilla extract 1 cup of honey 1/2 cup of sugar 1 teaspoon of cinnamon and 1 teaspoon of nutmeg until thoroughly combined. Mix in milk a little at a time to make a workable mixture.
Step 6
Beat egg whites to stiff peaks in a bowl with an electric mixer and gently fold the egg whites into the nut mixture until completely combined.
Step 7
Preheat oven to 350 degrees F (175 degrees C). Line a baking sheet with parchment paper.
Step 8
Roll out each piece of dough on a floured surface into a 12-inch square; brush with melted butter. Spread 1/6 of the nut mixture onto each square of dough and roll each into a log; pinch ends and seam tightly together and tuck the ends underneath the roll. Place filled rolls on the prepared baking sheet seam sides down.
Step 9
Beat egg yolks and 1/2 cup of milk together in a small bowl and brush the rolls with the egg yolk mixture. If desired allow to rise 30 more minutes (for more puffy rolls). Poke holes in the rolls every 4 inches.
Step 9
Bake in the preheated oven until golden brown 50 to 65 minutes. A toothpick inserted into the center of a roll will come out clean. Brush rolls with melted butter after removing from oven; allow to cool on racks.