Combine chopped hazelnuts, vodka, and brandy in a sealable jar. Shake and let steep at room temperature for 2 weeks.
Combine sugar and water in a small saucepan and heat until sugar is dissolved. Let cool, then add to the hazelnut mixture. Shake and let steep for 3 days, then add the vanilla bean and let steep for additional 3 to 5 days.
Sample often. Once desired flavor is achieved, strain through sieve and then again through cheesecloth or coffee filter. Refrigerate for up to 2 months.