Preheat oven to 180 C / Gas 4. Line baking trays with parchment. Whisk together the flour, cornstarch, bicarb and baking powder; set aside.
Beat the butter and sugar with an electric mixer in a large bowl until light and fluffy. Add the egg yolks one at a time, allowing each yolk to blend into the butter mixture before adding the next. Beat in the vanilla rum, vanilla extract, lemon extract and lemon zest with the last egg. Gently fold in the flour mixture with a spoon, making a crumbly dough. When the dough becomes cohesive enough, press it together into a ball with your hands. Wrap with cling film and chill for 30 minutes to 1 hour.
Roll out the dough, using as little flour as possible, to about a 6mm thickness. The dough will have an unusual consistency. Cut with a small round biscuit cutter. Continue pressing the dough together, rolling it out, and cutting until you have used it all. Place biscuits 1cm apart on the prepared baking trays.
Bake in the preheated oven until set but not browned, 7 to 10 minutes. Remove the biscuits immediately to cool on a wire rack.
Spread the underside of a cooled biscuit with a teaspoon of dulce de leche, then sandwich together with another biscuit until the caramel oozes out the sides. Roll the sides in the desiccated coconut.
Dulce de leche
Dulce de leche is an Argentinean favourite and is essentially just a caramel sauce, much like the filling used in banoffee pie. Feel free to use caramel sauce found in squeezy bottles or tins, such as Carnation. Or, make your own with our recipe.