This traditional Italian Christmas bread, packaged in colorful tapered boxes, seems to turn up everywhere at holiday time. Once you taste this homemade version, you may never again settle for store-bought.
In a small bowl, dissolve the yeast in the lukewarm water and set aside. Put the sugar in a large mixing bowl and pour the hot milk over it; stir. Then blend in the vanilla and lemon zest. Cool until lukewarm. Add the dissolved yeast. Whisk in the egg yolks and salt. Add 31⁄2 cups of the unbleached flour to make a sponge, and beat with a wooden spoon for 100 strokes. Cover and set aside for 15 minutes.
Beat the soft butter into the sponge. Stir in enough remaining flour, about 1/3 cup at a time, until the dough is too stiff to stir with a spoon. Cover and let sit for 5 minutes. Shake a little of the remaining flour onto the dough and knead it right in the bowl. After a minute or so, turn the dough out onto a floured surface and knead for 8 to 10 minutes, using the remaining flour as necessary to keep the dough from sticking. Place the dough into an oiled bowl. Turn dough to coat its surface, cover the bowl with plastic wrap, and set aside in a warm spot until doubled, up to 4 hours.
To make the traditional paper collars for baking the bread, use the tops of grocery bags. Cut strips of paper about 6 inches wide and 18 inches long. Butter one side of each strip and staple the paper, buttered side in, into cylinders about 5-1/2 inches in diameter. Place the cylinders on a large baking sheet. Cut two rounds of waxed paper 7 inches in diameter, butter, and set aside.
When the dough has doubled, turn it out onto a floured surface, add the raisins, knead for 1 minute, and divide in half. Shape each half into a ball, place them in the center of the waxed-paper circles, and lower the dough down into the paper collars. Tuck the waxed paper up against the inside of the collars. Cover the top of the collars with plastic wrap and set aside in a warm spot until nearly doubled.
Preheat oven to 375 degrees F. Bake bread for 40 minutes. Transfer the loaves to a rack. Cut off the collars and remove the waxed paper. Brush the entire surface of each loaf with melted butter. Cool thoroughly; then wrap well in foil.