In the bowl of the stand up mixer whisk together the flour, sugar and yeast. Make a well in the middle and add the yogurt, egg, butter and vanilla. Start to knead with the dough hook attachment and add the milk a little at a time, knead on speed 2 for 10 minutes.
Move the dough to a lightly floured flat surface and knead into a smooth ball. Place in a lightly oiled bowl, turned to lightly coat the dough, cover with plastic wrap, place in a warm draft free area and let rise 3 hours.
Place the dough on a lightly floured flat surface knead a couple of time and divide into two parts, form each part into 14 inch (36cm) ropes, twist the ropes (see photos) together and place in a lightly oiled and floured loaf pan (9x5 inches / 22 x 5 cm). Cover with plastic wrap and let rise in a warm draft free area for 1 hour.
Pre-heat oven to 350F (180C).
Brush the loaf with milk and bake for 20-25 minutes, if the loaf starts to brown too much then cover with a piece of foil. Immediately move to a wire rack to cool. Enjoy!