Separate empanada dough into golf-sized pieces, and roll each one into a smooth ball. Let is rest for 5 minutes.
On a floured surface, roll each ball of dough into a circle about 6 inches in diameter.
Spoon 2-3 tablespoons of filling in the middle of the circle. Brush the edges of the dough along the bottom half of the circle lightly with water.
Fold the top half of the circle of the dough over the filling to form a semicircle, and press edges firmly to seal.
Brush the pressed edge with a little bit of water, and fold the edge over itself, pinching and crimping as you go to make a braid-like effect. Place empanadas on a baking sheet.
Mix egg yolk with water and brush mixture lightly over the entire surface of each empanada.
Preheat oven to 200C. Bake for 15-20 minutes, until golden brown and slightly puffed.
Serve at room temperature and enjoy.