This is a beautiful and incredibly delicious pastry to add to your kitchen. It brings a lot of color and flavor to the holiday table, but is also really great to enjoy any other time of the year, too!
For the saffron star bread, use a mortar pestle to crush together the sugar and saffron until the threads are broken into tiny pieces. Heat the milk in a small pot until hot but not boiling. Stir in saffron sugar mixture until sugar dissolves. Remove from heat, allow to cool to lukewarm, then whisk in yeast and allow to sit at room temperature until yeast is dissolved, about 5 minutes.
In the bowl of a stand mixer fitted with the dough hook attachment, combine the flour, 1/2 cup of water, butter, vanilla extract, sugar, salt, and saffron milk at low speed until the dough comes together. Continue mixing until a soft smooth dough forms. You can do this by hand, as well, and just knead the dough. Transfer the dough to a greased bowl, cover, and let it rise for 60 minutes at room temperature out of direct sunlight.
On a clean and lightly floured working surface, divide the dough into four equal parts and shape into spheres. Cover and set aside to rise for 20 minutes.
While the dough is rising, you can prepare the cardamom filling by pureeing the butter, sugar, cardamom, nutmeg, salt, vanilla extract, and saffron threads in a blender or food processor until smooth. Set aside.
Take one of the dough balls and roll it out on a piece of parchment paper into a roughly 10-inch circle. Spread the surface with 1/3 of the cardamom butter, leaving a 1-inch border empty, then set it aside.
Take a second dough ball and roll it out onto a piece of parchment paper, then flip it upside down on top of the first sheet of dough, peeling off the top layer of parchment paper and pressing around the edges gently to seal the two layers of dough together. Spread 1/3 of the cardamom butter on the top layer of dough, leaving a 1-inch border empty, then repeat this process one more time so that you have three layers of buttered dough stacked on top of each other.
Roll out the fourth and final dough ball onto a piece of parchment paper, then flip it upside down on top of the third sheet of dough, peeling off the top layer of parchment paper and pressing around the edges gently to seal the two layers of dough together. (This top layer does not and will not have any butter on it.)
Place the 3" lid of a jar in the center of the circle as a guide, and cut the circle into 16 equally-sized slices, leaving the center 3" connected. Twist the slices in pairs away from each other. Then pinch the ends of each pair together. Set the star aside to rise for 40 minutes at room temperature out of direct sunlight.
Preheat the oven to 400 degrees Fahrenheit. Transfer the saffron star parchment paper onto a baking sheet and lightly brush the star with the egg wash. Bake in the oven until deeply golden and puffy, about 20 to 25 minutes.