Dissolve the yeast and sugar in the warm milk and let it stand for 10 minutes.
Put the flour in a bowl, make a well in the centre and add the egg yolks (reserve the egg whites), melted butter, vanilla extract and the yeast mixture in the well. Sprinkle some salt around the edge of the flour (not in or around the well).
Knead this for 10 minutes into a good dough, then transfer to a lightly oiled bowl and let it rise, covered, in a warm place for 90 minutes.
Preheat the oven to 180 C / Gas 4. Punch the air out of the dough and divide the dough into 4 balls.
Lightly flour a work surface and roll out the balls thinly into 4 equal circles, cut the excess dough off (you can make small rolls out of this, it's a waste to throw it away).
Slightly heat the Nutella® in the microwave or in a bowl over in a double boiler, and spread about a third of the mixture onto this circle. Lay the second circle on top and spread with Nutella® on it, repeat one last time and use up the remainder of the Nutella® then lay the final circle on top.
Transfer the Nutella® dough onto a baking tray lined with baking parchment and put a glass in the middle of the circle. Make 16 cuts in the dough coming outwards from the glass. Then twist each piece 'swirl' and let two pieces come together at the end so it looks like a star, then brush it with lightly beaten egg whites.
Bake in the preheated oven for around 16 minutes or until risen and golden brown. Remove from the oven and serve warm or allow to cool on a cooling rack before serving.