For the Cake:
1/3 cup milk
1 package active dry yeast
2 1/2 cups bread flour, plus more for dusting
2 large egg yolks, plus 2 eggs
3 tablespoons granulated sugar
Finely grated zest of 1 lemon
1 teaspoon salt
1/2 teaspoon freshly grated nutmeg
1 1/2 sticks unsalted butter, melted and cooled, plus more for greasing the bowl
For the Filling and Glaze:
1/2 cup golden raisins
1/4 cup bourbon
3/4 cup packed dark brown sugar
2/3 cup toasted pecans, chopped
1 teaspoon vanilla extract
1 teaspoon ground cinnamon
2 teaspoons grated orange zest
1/4 teaspoon salt
1 dry bean or plastic King Cake baby (available at party-supply stores or mardigrasday.com)
1/2 cup confectioners' sugar
Purple, green and gold sanding sugar, for decorating
Make the cake:
1. Heat the milk in a saucepan until scalding; transfer to a food processor, add the yeast and pulse to combine. Add 1/2 cup flour and the egg yolks; process to combine. Pour the remaining 2 cups flour evenly over the yeast mixture; do not process. Put the lid on; set aside for 90 minutes.
2. Add the 2 whole eggs, granulated sugar, lemon zest, salt and nutmeg to the food processor; process to make a slightly textured dough, about 1 minute. With the machine running, slowly add the butter to make a smooth, sticky dough. Transfer the dough to a lightly buttered bowl and cover tightly with plastic wrap; let rise in a warm place for 3 hours. Turn the dough out onto a clean surface and knead briefly; form into a ball and return to the bowl. Cover tightly with plastic wrap and refrigerate for 8 hours or overnight.
Make the filling:
1. Plump the raisins in the bourbon in a small saucepan over medium heat. Remove from the heat and add the brown sugar, pecans, vanilla, cinnamon, orange zest, salt and the bean or plastic baby; mix until combined and set aside.
2. On a floured surface, roll the dough into a 20-by-7-inch rectangle, with the long edge facing you. Spoon the filling in an even layer over the dough, leaving a 1-inch border along the top and bottom. Fold the bottom and then the top edge over the filling to make a tight roll; pinch to seal. Transfer the roll seam-side down to a parchment-lined baking sheet; tuck one end into the other to form a ring. Cover loosely with plastic wrap and set aside in a warm place until the roll doubles in size, about 2 hours.
3. Preheat the oven to 350 degrees. Bake the cake until firm and golden brown, about 40 minutes. Cool on a rack.
Make the glaze:
1. Mix 3 tablespoons water with the confectioners' sugar; brush 3 tablespoons glaze over the cake. Sprinkle with bands of colored sugar; drizzle with more glaze.