Step 1 Dissolve yeast in water.
Step 2 Mix together milk, salt, 1/3 cup sugar and 1 1/2 cups flour in large bowl with wooden spoon. When yeast bubbles, add and let mixture rise until doubled, about 1 hour.
Step 3Mix egg yolks, remaining 2/3 cup sugar, scraped vanilla bean and dash nutmeg.
Step 4Combine butter, lemon zest and saffron. Melt butter mixture gently in skillet over low heat, or microwave until warm but not boiling.
Step 5Stir butter into flour sponge. Add egg mixture. Gradually add remaining 3 cups flour and knead thoroughly on floured surface at least 10 minutes. Place in large mixing bowl, cover with plastic wrap and towel and set in warm place such as gas oven with pilot light on until doubled, about 1 1/2 hours; or leave in refrigerator overnight.
Step 6Grease inside of 2-pound coffee can, add bread crumbs and rotate to coat. Pour out excess crumbs. Fill can 1/3 full with dough. Cover and let rise again until doubled, 1 hour.
Step 7Bake Kulich on bottom rack of oven at 325 degrees until golden brown, 1 to 1 1/2 hours.
Step 8Remove Kulich from oven and gently slide out of can. Cover pillow with plastic wrap and lay Kulich on its side on pillow. Rotate 1/4 way every 10 minutes until cool. Set on plate to frost.