Pour whiskey over walnuts and let sit.
Sprinkle yeast over warm milk in a glass measuring cup. Stir in 3 tablespoons of the flour and 1 tablespoon of the sugar. Let stand until foamy, about 10 minutes.
Beat butter and remaining 1/4 cup sugar in a large bowl until creamy. Add yolks, one at a time, beating will after each addition. Stir in yeast mixture.
Combine cream and milk in a small bowl.
Combine 3 cups of the flour and salt in a second bowl. On low speed, beat flour/salt mixture alternately with cream mixture into butter mixture in 2 or 3 batches, beating well after each. With a wooden spoon, stir in remaining 2 cups flour; dough will be very soft. Turn dough out onto lightly floured board. Knead 12 - 15 minutes or until smooth and elastic, adding more flour as needed (about 1/4 cup total) to prevent sticking. Place dough in a greased large bowl, turning to coat. Cover with greased waxed paper and a clean kitchen towel. Let rise in warm place until dough is almost doubled, about 2 hours.
Beat eggs, sugar and cream in a large bowl. Stir in walnuts & whiskey (don't worry, nuts will look purple from soaking in the whiskey). Set aside.
Punch dough down. On floured work surface, divide dough into 2 pieces. Cover other piece with a greased waxed paper and a kitchen towel. Roll the remaining piece of dough into a long rectangle about 30x13-inch. Gently spread with 1/2 of filling on top, leaving a 1/2" border all around the edge. Beginning with the short side, roll up tightly, jelly-roll style. Bring ends together to make a circle and pinch together. Place, seam side down, on a greased baking sheet. Cover with lightly greased waxed paper and kitchen towel. Repeat with remaining piece of dough and filling. Let rise in a warm place about 1 1/4 hours or until doubled in bulk.
Heat oven to 350°F.
Bake for 40 - 45 minutes or until golden brown. Transfer to a wire rack. Let cool slightly and serve warm or cool completely.