Roux: Combine flour and water in a small pan. Heat over medium-high heat, stirring constantly with a wooden spoon / whisk / spatula until streaks start to form as you stir the mixture and becomes a paste, or ideally, reached 65 degrees Celsius. Remove from heat, cover with plastic wrap and let cool completely. The roux can be made ahead and kept refrigerated for 2 to 3 days. Let it come to room temperature before using.
Dough: Measure flour, sugar, yeast and salt in a large bowl. Stir to mix them together. Add in the roux, followed by warm milk and cream. Stir with a spoon until a soft dough forms. Mix in the egg and subsequently the butter. Knead the dough until smooth and elastic, about 8 to 10 minutes. Shape the dough into a ball. Transfer the ball of dough into a buttered / oiled bowl and turn it several times to coat with the butter / oil. Cover and let rise until double in size, about 1 to 1.5 hours in a warm environment or 8 to 10 hours in the refrigerator.
If dough is rising in the refrigerator, let the dough come to room temperature before working with it. Punch down the risen dough slightly and turn it out onto a lightly floured counter. Divide the dough into 8 pieces and roll them into balls. Cover and set aside for 10 minutes to rest.
Roll out a portion of dough into an oval, fill it with desired fillings like Nutella or red bean paste (can leave it plain if desired) then roll it up, pressing down the seam.
Line a 8x8-inch baking tin with parchment paper or butter the tin. Place the dough, seam side down, in the tin, slightly apart from each other. Cover and let rise until double in size, about 45 minutes to 1 hour in a warm environment.
Preheat oven to 180 degrees Celsius.
Brush the rolls with the beaten egg yolk. Bake the bread for 25-30 minutes. If the top is browning too fast, tent it with a foil. Let bread cool in the tin for 10 minutes, then transfer it out onto a rack and let cool.
Serve warm or at room temperature. Store uneaten bread in an airtight container and warm it up in the microwave for 10 to 15 seconds before serving.