Dissolve the yeast in the warm water in a large bowl. Add 1/2 cup of the sugar, the butter, milk, egg yolks, salt, lemon zest, nutmeg and 2 cups of the flour, and beat until smooth. Stir in enough of the remaining flour to make a soft, sticky dough.

Turn out onto a floured surface and knead for 6 to 8 minutes, until smooth and elastic. Put it in a greased bowl, turning once to grease the top. Cover and leave somewhere warm until doubled, about 1 hour.

Punch the dough down and roll it out on a lightly floured surface into a 16x10-inch rectangle. Mix the cinnamon with the remaining 1/4 cup sugar and sprinkle it over the dough, leaving 1/2 inch clear around the edges.

Roll the dough up tightly from a long side, like a jelly roll, and pinch the seam to seal. Set it seam side down on a greased baking sheet and pinch the ends together to make a ring. Cover and let rise until doubled, about 1 hour.

Brush the ring with the beaten egg and bake at 375°F for 25 to 30 minutes, until golden brown. Cool completely on a wire rack.

If hiding a toy baby or trinket, push it in from the underside of the cooled cake so it can't be seen. Never bake it inside the cake.

Stir the confectioners' sugar, lemon juice and enough water together to make a spreadable glaze. Spread over the cake and sprinkle with the coloured sugars.