To make the dough; put the sugar, butter, egg yolks and sour cream in food processor and process well. Add the flour and dry yeast and process well. Dough should be slightly moist and easy to work with. If it’s too moist, add a little more flour, if too dry, add a bit of milk.
To make the walnut filling; stir the milk and sugar in saucepan and combine until sugar melts and is like a syrup. Add the walnut and stir until combined. Remove from heat and add the rest of the ingredients.
Preheat oven to 190 degrees C. Divide the dough in three and roll out on a floured surface to a 1/2 cm thick rectangle. Fill each piece with walnut filling, and roll up like a Swiss Roll. Place in a lightly greased baking dish and let rest for 1 hour in a warm place. Brush with slightly beaten egg and put in fridge for 30 minutes. Bake for 40-45 minutes, or until golden.