We melt the chocolate in a bain-marie utensil, ie into a metal bowl placed over a saucepan of simmering hot water. As the chocolate melts, we start stirring with a wooden spoon. When we withdraw the bowl from the heat, we add the butter and stir it well until the mixture melts and becomes smooth and velvety. We add the marshmallows (loukoumi) in pieces and continue stirring until the mixture gets even.
We allow the mixture to cool and add the egg yolks by stirring well (if we add the egg yolks when the mixture is still hot, they will be cooked at high temperature and will form small pieces of omelet). Finally, we add the yogurt and the liqueur and we mix it well once more.
We cover the bowl with a clear wrap and put it in the refrigerator for 5-6 hours.
We put the cocoa in a pan. We remove the chocolate mixture from the refrigerator and mash it into about 20 small truffles in walnut size. We roll the truffles in the cocoa and then we serve them. We can keep the finished truffles in a cool, dark place, but not in the refrigerator.