If you are using fresh yeast, don’t forget to prove the yeast first. If you use dry yeast, continue here. Best in a large bowl of a stand mixer, combine all-purpose flour, dry yeast, fine sugar, salt and lemon zest. Stir in with wooden spatula.
Start mixing with a hook attachment on power 4 and slowly add (if you use fresh yeast add proven fresh yeast now), milk, melted butter, eggs, vanilla extract or rum and mix until the dough comes together. Continue mixing for another 5-7 minutes at medium speed, so the dough is well mixed. Add the last ingredients, almonds, walnuts and raisins and mix just to combine. Remove the hook attachment and with your hand get all the nuts and raisins on the bottom of the bowl. Bring the dough with your hand up and shape a ball.
Take the large bowl with the dough in it and cover it with a kitchen towel or plastic food wrap. Let the dough rise for 1 hour, in a warm place, or until it double in size. Make sure the dough is not in a drafty spot in your kitchen.
Once the dough has risen, bring it back to the kitchen counter and with a clean hand gently punch in the middle to let some gases escape from the dough. Place the dough on a baking sheet covered with parchment paper. Shape the dough into a ball by making plies as on the image, then turn the dough upside down and cover with a kitchen towel or plastic food foil and prove for another 20 minutes.
In the meanwhile, preheat the oven to 200 C /400 F, rack in middle position. Crack an egg in a small bowl and add rum. Whisk the egg with rum to have egg wash. Brush the egg wash all over the sweet bread.
Place the sweet bread in the oven and bake first for 10 minutes at 200 °C/ 400 °F, then reduce the temperature to 160 °C/ 325 °F and bake for an additional 40 minutes. If your bread already had browned the first 10 minutes of baking, cover the bread with aluminum foil to prevent burning.
After baking, let the sweet bread rest for 40-60 minutes. Dust with powdered sugar. Slice and serve as is or spread with butter, jam or Nutella.