Mix together the dry ingredients.
Add the milk, egg and water until you have a smooth, slightly sticky dough.
Knead thoroughly, using a little flour, until smooth.
Put into a bowl, cover with a cloth and leave to rise in a warm place for 1 hr until doubled in size.
Flour your surface, then pat the dough out to a rectangle, one cm thick. Lay the butter slices out over the middle of the dough, in a rectangle. Fold the pastry over the top, bottom and then sides until the butter is completely hidden. Press the edges firmly together.
Tap out the dough with a rolling pin to make sure the butter is squashed out evenly. Then roll the dough out to a 50 x 30cm rectangle.
Fold the right third over and the left third over that. Leave the dough in the fridge for at least 15 minutes.
Take the dough out and repeat the roll and fold exercise. Do this in total four times, but make sure you work quickly to avoid the butter to soften and break through the thin layers of dough.
Between the roll-and-fold sessions, it is time to make the filling: ground the hazelnuts, put in a bowl and then mix with butter, sugar and vanilla extract until you have a smooth paste.
After the last roll-and-fold: Heat the oven to 180C.
Roll out the dough to a rectangle, approximately 0,5 cm thick.
Spread the hazelnut paste over the whole dough. Roll it together to one thick bread. Cut two cm thick "loafs" of the bread and put on a baking tray. They should look a bit like cinnamon buns. Brush with a beaten egg.
Put the tray in the middle of the oven, and bake for 20 minutes. They should by now have risen and look golden.