In a large mixing bowl, cream butter and sugar until fluffy. Add eggs, one at a time and beat to combine. Add vanilla. zest and cognac and mix to combine.
In another large bowl, whisk together flour, cornstarch, baking powder, baking soda and salt.
Add dry ingredients to wet, folding with a spoon after each addition. Cover and refrigerate dough for at least 3 hours
When ready to bake, preheat oven to 350 degrees and line cookie sheets with parchment paper
Roll dough onto a floured surface to a thickness of 1/4 inch and cut with a 1 1/2 inch round cookie cutter. Place cookie circles on prepared cookie sheets.
Bake at 350 degrees for 5-8 minutes. Remove from oven and let cool on pan for 1-2 minutes before moving cookies to a wire rack to cool completely.
Once cooled, cookies can be assembled, frozen or stored in an airtight container
To assemble, spread dulce de leche onto the flat side one cookie and sandwich another cookie. Dulce de leche should spread outside of the cookies sandwich just a bit. Roll the sides of cookie in coconut and serve