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In a small saucepan, heat the milk until it bubbles, then remove from heat. Add the butter, sugar and stir until the butter is melted. Let cool until lukewarm.
In a small bowl, soak the saffron in ½ Cup hot water, let cool until lukewarm, drain and reserve the liquid.
In the mixing bowl of a stand mixer, combine the milk mixture with the reserved saffron water and beaten eggs. Add the yeast and stir to dissolve.
Add the salt, nutmeg, cinnamon, lemon zest and 4 cups of the flour, mix well. Add the remaining flour, ½ cup at a time, stirring well after each addition.
When the dough has pulled together, turn it out onto a lightly floured surface and knead until smooth and elastic, about 8 minutes.
Lightly oil a large mixing bowl, place the dough in the bowl and turn to coat with oil. Cover with a damp cloth and let rise in a warm place until doubled in volume, about 1 hour.
Deflate the dough and turn it out onto a lightly floured surface. Divide the dough into three equal pieces. Form into 14 inch long ropes.
Braid the ropes together and place on a lightly greased baking sheet. Cover with a damp cloth and let rise until doubled in size, about 40 minutes.
Preheat the oven to 350°F.
Bake for 50 to 60 minutes or until golden brown and the bottom of the loaf sounds hollow when tapped.
Remove to a wire rack and cool.