Lars von Trier's new film rolls into Copenhagen just ahead of hurricane Bodil, one startling storm preceding another. The blizzard hits, the planes are grounded and the wind is so strong it knocks the Christmas shoppers flying. To misquote Louis XV: après Lars, le déluge.

The guests emerging from the evening screening inside the city's Grand Theatre look similarly blasted. Nymphomaniac has them ruffled, ravished and manhandled. For a full four hours they have sat in the dark as Von Trier spins his story of Joe, whose sexual tour leads her from casual encounters aboard a commuter train to S&M tutorials aboard an office couch. The film is by turns provocative and preposterous, unsparing and compassionate. Nymphomaniac contains magical trees and cutlery; squabbling siblings, avenging angels and a beautiful imp with a deformed right ear. For better or worse, it's a movie that could have been made by no other director.

Two days later, with the snow falling hard, I trudge across town to Nymphomaniac's base camp. Inside there is coffee, cake and camera crews. Somewhere, rumour has it, there is Von Trier as well, although the Danish film-maker has taken a vow of silence since a miscued (and arguably misconceived) joke at the Cannes film festival led to him being cast out like Satan. Someone has spied him, bundled in an overcoat on the street outside. Several others claim to have spotted him sitting quietly in the hotel lobby. But he's lying low; he will not speak. It is left to the cast to play his ambassadors on Earth.

Nymphomaniac stars Charlotte Gainsbourg as Joe, who recounts her life story to a chaste, lonely bachelor named Seligman, played by Stellan Skarsgård. Both actors have worked with Von Trier before. Both have found the experience so galvanising that they are willing to drop anything (be it prior commitments or pants) to do so again. They might not know where they're headed, but they know that they're in for quite a ride.

Shooting Nymphomaniac, admits Gainsbourg, was sometimes heaven and sometimes hell. Body doubles were used for the most explicit scenes, although she still found the role to be literally and emotionally exposing. "I do enjoy a little pain, but that's necessary to work with Lars," she says. "I think I must be a masochist because I do take a kind of pleasure from it. I like being manipulated. I like the fact that I'm not really sure where I'm going and that it's he who decides where it goes in the end. He was holding my hand and driving me, and I like being able to lose control."

Charlotte Gainsbourg and Stellan Skarsgård in Nymphomaniac. Photograph: Articificial Eye/Sportsphoto Ltd/Allstar

This lack of control, Skarsgård explains, is a crucial part of the Von Trier experience. "The biggest enemy of any actor is fear," he says. "And with Lars, you don't have any fear. There is no preparation, he just starts shooting. And the atmosphere on set is such that mistakes are a good thing, because they show you've tried something." He concedes it might not work for everyone. "There are the people that I call 'mirror actors'. The ones who perfect their performance in the mirror and then polish it for weeks before arriving on the set. They're the ones who are fucked."

But it's not just a few performers who balk at von Trier's method. Certain viewers have issues with it, too. Down the years the director has been accused of pushing his actors – and particularly his female actors – too hard; of feeding them through the wringer and all but sniggering at their discomfort. He sent Björk to the gallows in Dancer in the Dark, arranged a gang-rape for Nicole Kidman's heroine in Dogville, and had Gainsbourg's character take a pair of scissors to her genitals in 2009's Antichrist. Perhaps it's all in the eye of the beholder. Where fans see a great artist drawn to extremes of ecstasy and anguish, detractors see an old-fashioned misogynist sporting a voguish arthouse cap.

In Von Trier's latest film, British actor Stacy Martin makes her screen debut in the role of the younger Joe. Martin is a pale and slender woman in her early 20s; an alabaster saint who looks as if she would crack if you leaned on her too hard. Yet she describes her tormentor as "calm, gentle and sensitive". She says he respected her limitations and never forced her to do anything that was outside her comfort zone. "I don't think he's a misogynist," she tells me. "The fact that he sometimes depicts women as troubled or dangerous or dark or even evil; that doesn't automatically make him anti-feminist. It's a very dated argument. I think that Lars loves women."

Stacy Martin in Nymphomaniac. Photograph: Artificial Eye/Sportsphoto Ltd/Allstar

Martin dominates the first part of Nymphomaniac, while Gainsbourg owns the second. For the British actor, this is all virgin territory. Yet Gainsbourg has worked with the director on two previous films and is no stranger to controversy. Her parents, Serge Gainsbourg and Jane Birkin, turned the airwaves blue with their breathy 1969 hit Je t'Aime … Moi Non Plus, a song that was promptly condemned by the Vatican. At the age of 12, she could be seen reclining, semi-clad, on a bed with her dad to sing the pop duet Lemon Incest. She has, I am guessing, built up an immunity by now.

Gainsbourg thinks it over. "I hope my children won't be too embarrassed [by Nymphomaniac]. But I went through similar things with my own parents. I wasn't born when Je t'Aime … Moi Non Plus was released. But I did Lemon Incest with my dad, and my mum was nude in a number of roles. And I was never embarrassed by it. My father led me into really provocative areas with Lemon Incest, but I was in boarding school at the time, so I was protected from the scandal." She sees parallels between her late father and Von Trier. "They are very similar in some ways. They have an outrageously provocative nature that's combined with real shyness and awkwardness. They are both people who are not at ease with themselves."

Outside the hotel the snow is piling up. Inside, there is still no trace of Von Trier himself. The longer this goes on, the more conspicuous his absence becomes. We all know he's here, so why doesn't he drop by? I can't shake the sense that he's pulling strings from the shadows, forcing the actors to explain his intentions and embroiling us all in some situationist farce.

At a Cannes press conference in 2011, the notoriously garrulous, mischievous director told reporters that he was a Nazi and sympathised with Hitler "a little bit". This was a joke, says Skarsgård – "not a particularly good one", but a joke all the same. The trouble was that the press went to town and the festival bosses overreacted, and that's why Von Trier isn't speaking today. Once bitten, twice shy. The director now fears that anything he says, any idiotic aside that he makes, risks being bent into a boomerang and then thrown back at his head.

It is surely no accident that Nymphomaniac breaks off at intervals to rail against a stifling culture of political correctness. Seligman makes the case that, counter to prevailing wisdom, Joe's sexual odyssey might be construed as a feminist tale. Joe, meanwhile, defends her right to say "negro" whenever she wants. "Every time you remove a word from circulation, you remove a stone from the democratic foundation," she tells Seligman.

No doubt Skarsgård would go along with that. The actor claims to have had enough of liberal hypocrites and the PC police; of cowardly festival factotums and of cynical hacks who deliberately misconstrue jokes. It has reached the stage, he argues, when people are afraid to say or do anything for fear of the backlash. It's a sorry state of affairs that we find ourselves in.

All of which may be true. But isn't that all the more reason for Von Trier to stick to his guns? By zipping his lip, he has only ceded the ground. By hiding away, it's as though he's admitted defeat. I like von Trier, warts and all, but I'm not sure that I like him in his coy current guise. The Trappist robes don't suit the man. He's probably sitting in the damned next-door room. I can't understand why he won't come out and speak.

Skarsgård pulls a pitying face. He obviously feels that I've missed the point entirely; that I have learned absolutely nothing from the past few days. "But he did speak," he tells me. "He made the fucking movie."

Nymphomaniac Volumes One and Two are released on 22 February.