Preheat the oven to 180C/350F/Gas 4, and line a baking tray with parchment paper, or a silicone mat. Set aside.

Using a handheld or stand mixer fitted with the paddle attachment, beat the butter and sugars until combined. Add the egg yolk, vanilla, and eggnog, and mix until combined.

Add the flour, salt, and spices, and mix to form a smooth, soft dough.

Roll the dough into 0.7oz balls. Roll each one in granulated sugar, and place onto the prepared baking tray.

Use your thumb, or the back of a measuring spoon (I used a 1/2 teaspoon measuring spoon), to make an indent in the middle of each ball.

Bake for 10 - 12 minutes, or until firm to the touch and golden around the edges. If the indents have risen, gently press them back down with the measuring spoon.

Allow to cool for 5 minutes before transferring them to a wire rack to cool completely.

In a small bowl, whisk together the icing sugar, eggnog, vanilla, and nutmeg until completely smooth and combined.

Fill the indents in the cookies with the filling. Allow to set before serving.