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Heat milk and whisk in 1½ cups flour, sugar, and yeast.
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Cover with plastic and let stand for ~30 minutes.
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Add eggs one at a time.
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Add another cup flour, orange zest, and salt. Then add butter, vanilla, and orange juice. Gradually add remaining flour, kneading until smooth.
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Coat a bowl with oil and roll dough in it to coat. Cover with plastic and let rise for 1½ hour. Preheat oven to 400.
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Make braids with the dough (2 loaves).
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Mix egg yolk with 1 tablespoon water. Brush loaves with mixture.
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Bake 15 minutes. Reduce heat to 350 and bake 20 minutes. Let stand 5 minutes.